Because t's a tradition. Unless when the early makers of cookies cooked them, then we would be cooking them right now too.
Another thing is, you bake a cookie "dough" in the oven, and you cook a "meat" in the oven. Supposedly, bacons were cooked over the fire during the earlier times. Technically, cooking applies to something done over a fire. When they did cookies, there were already ovens made of bricks.