Long story short: When you apply a function to a value, the function controls the process. When you apply a function to a monad, the monad controls the process. That is what allows monads to extend the semantics of functions (e.g., adding side effects, or whatever).
And why not? Why should values be passive? (Note that accessors are a bit like half-monads; but full monads can do whatever the hell they want with functions, way beyond playing with what they see.)