Because the %appdata& folder(s) didn't exist back when developers were first implementing save systems. Originally game data was saved inside the game's folder, but this fell out of popularity for several reasons (and nowadays is heavily discourage given that most programs are installed in the appropriate Program Files directory, which should be considered read-only zones for applications). The most appropriate place seemed to be one accessible to users (so they could backup and manually remove their save data outside of the game), and My Documents was visible to the user but tucked away enough that the save file clutter shouldn't be annoying. This especially became the case with games that made use of custom content, such as GTA's User Radio or The Sim's wallpapers and packages.
I'm pro My Documents for game save data, although putting it in the appropriate "My Games" or "Games" subfolder would be nicer. Aside from the implication that the developer is trying to hide access (given %appdata% is hidden), it's just more appropriate given that game saves could be technically considered documents in a sense.
