We've been asked this question a few times, so here is why:
If you're building a simple site with a dozen or so pages then you can think of a document as a page, there's a one to one correlation between the two. The document holds both the content and also defines the location of the page within the site structure.
However when you start to build more complex and functional sites the relationship between documents and pages changes, you can have one document with many pages. In this case the document defines the location within the site of all the pages it contains, the pages are children of the document, it can also contain content.
You might be scratching your head at this point so we'll continue and use the shopping cart as an example of how you can have a multi-page document.
We'll create a product category in our store, lets call it widgets, and to that we'll add our products e.g. red widget, blue widget and green widget. All well and good so far as this is pretty standard stuff when using a shopping cart.
Next we need to decide where our product category is going to appear within the website structure, to do this we create a new document within the the site and set it to be a container for our new store category.
Now when you view the new document in the public interface of your website you'll have a web page containing a list of products and when you select any product you'll find that a product page has been generated for each product e.g. if the URL of the document is /store/widgets/ then the green widget page will be /store/widgets/green-widget/. We now have one document with many pages.
Other modules such as the gallery work in the same way, i.e. you create a document full of images.
The advantage of being able to do this is that you can place your product or gallery pages almost anywhere within your site structure you don't have to have a specific area where all your products are listed or where all your photographs are stored, you design the IA (information architecture) that works for you and your business, you are not stuck with making do with a generic structure.
Hopefully that has given you some insight into the reason we use the term Documents, feel free to ask any questions.