It's mainly because ever since telecommunications became a thing on Earth, it was radio that offered the simplest method of broadcasting. They were relatively free of interference from natural Earth-based substances, for example infrared is emitted by all living things on Earth, and sending a signal using that band would be a relatively short-distance affair (which it is, as infrared is the basis for TV and other remotes).
Various radio frequencies can be used to send signals right around the Earth (e.g. shortwave), without using satellites, just using the upper atmosphere and ground itself as a reflecting mirror. Others go straight through the atmosphere and even go through buildings. So over the years we've found radio to be a very useful set of bands, and we naturally assume that any alien race would also have found radio to be equally useful to them. Maybe we could be wrong about how much other species might find it useful too, but it's all we got to assume with now.