Splendid question! One, I have asked myself. I've found the answer to be... not at all what I had thought it would, and now, seems so obvious.
I have two dogs. Both of whom, take food from their bowl in the kitchen and head straight to the dinning room, where they immediately go under the table to enjoy. So, I did a little research into this. As it turns out, the majority of veterinarians have also been posed this question a number of times by confused and bewildered owners. And, from what I've read, they all seem to think it's because they see us take our food out of the kitchen (or where ever) and eat it elsewhere. So, naturally they think that's what your supposed to do.