Because Los Angeles and southern California had freeways before a lot of the country. Instead of numbers at first they had names like: The San Diego freeway, the Pasadena freeway, the long beach freeway. The San Diego freeway became the 405, Pasadena became 110 and long beach became 710, along with Ventura freeway (101).

So people were used to saying THE then the name. Then when they became numbers they were used to saying THE then the number. It makes sense when you think of it and know the history.