Obviously, because they’re cured in massive amounts of salt. That tends to make things salty.
But why are they preserved that way? (Not that there’s anything wrong with it – I’ve just had some right out of the tin for breakfast.) Why no smoked anchovies? Why no anchovies preserved like your typical sardines?
You can get smoked anchovies.
I’ve never seen them here.
WAG, but maybe size has something to do with it
Anchovies are small, so there’s no much meat on them. It would be pretty inefficient to get a bunch of them together, debone them, and serve the meat. By salting them, it ensures that people can use them for flavor instead of the nearly non-existent meat.
In many asian grocery stores I go to, they sell tiny fish and shrimp, only a centimeter or two in length, in large jars that are salt cured. You’re not supposed to eat them as is, but it is a popular ingredient in cooking to use as flavoring for other foods.
Anchovies (at least, as sold in the U.S.) are largely de-boned, and are filleted. What you get is ‘all meat’. Compare that to sardines, which are larger. ISTM they just chop off the heads and fins and that’s it. (I’m not sure if they’re gutted.) Some smoked sprats I have in the cupboard still have the tails on. You eat the bones, which is why they’re a good source of calcium. Anchovy fillets have fewer bones.
As for flavouring, yes. They’re used for Caesar dressing and Worcestershire sauce. But also as a pizza topping, or a fillet on to of Wienerschnitzel, or eaten on a cracker. So why not prepare them in other ways?
Below is a link to an article about with some alternative methods of preserving them. It seems the answer as to why is that time is critical.
To be honest I’ve only ever seen them preserved that way in a very high end deli - ridiculous food porn second mortgage high end.
I get cravings sometimes for anchovies and am perfectly content to munch them straight from the jar or tin. I probably have some sort of underlying nutrient deficiency. 
Smoke me a kipper — I’ll be back for breakfast!
Hiya, Ace. 
Ace!
Edit: Gah! Beaten by Mr L.A.
I eat them right out of the tin as well; however, I do rinse them for a bit and then pat the water out to get rid of as much of that oil as I can. I’ve always got several tins around and a couple of tubes of anchovy paste. Smoked anchovies? I suppose you could do better than that!
That’s odd. Every anchovy can I’ve bought still has the little bones in it, making it almost inedible. Guess I need to buy better cans
Oh, they all have bones in them. But they’re edible.
I’ll add that to the list of things I wish I could unread.