You can ask the same question about any other race. Why do people play as Miqo'tes? Why do people play as Hyurs? Simple answer: they can. A better question is why wouldn't you want to be a Lalafell?

As for my reasoning I chose a Lalafell because I was planning to choose BLM as my starting class so I wanted a magic-based class. Lalafells have the highest base piety and at the time I thought that was the best stat to go for as a BLM. I just never changed it afterwards and enjoyed being a Lalafell because we are awesome!