I think people think this way because they create a new Word document by opening Word. If the only way to create a new document was to right click -> New... -> Word document (a menu that already exists) they'd instantly "get it". That system is intuitive to everyone - there's nothing not to get.

Once you understand how that works, then additionally understanding the new/save/open buttons is trivial, but if you started with the new/save/open buttons you might not get how they work because you'd have to lose your existing wrong understanding. Learning is path-dependent.