The reason for this is historical:

Electricity was first introduced to households at the end of the 19th century where it was mostly used for lighting. For decades devices had to be patched directly into a house's wiring. However, with the increasing spread of labour-saving electro-domestic appliances in the early 20th century, manufacturers needed to find other means to connect them to the electricity supply: in each country they developed their own plugs and sockets. At that time, only a small percentage of people were travelling across borders and their electric devices were generally not very portable.