Simply because "The Sun" was the first star observed that was known to be a star and the Moon was the first moon to be observed. Any other moon, no matter how large, requires assistance to observe for example.
Though it should be noted that during this time of year you can go out after dark (assuming you live in the northern hemisphere) and look to the east. You should see what appears to be an unusually bright star. If you then take a cheap pair of binoculars, you might note that the star, unlike all the other stars, gets a bit bigger (rather than just brighter) and if you look really closely, you might even note a number of tiny dim points of light around it. If you then go back and observe over the course of a few days you'd note that those points of light move with respect to the big one. If you actually do this, congratulations as you've observed one or more of the Galilean moon of Jupiter!
Though it should be noted that during this time of year you can go out after dark (assuming you live in the northern hemisphere) and look to the east. You should see what appears to be an unusually bright star. If you then take a cheap pair of binoculars, you might note that the star, unlike all the other stars, gets a bit bigger (rather than just brighter) and if you look really closely, you might even note a number of tiny dim points of light around it. If you then go back and observe over the course of a few days you'd note that those points of light move with respect to the big one. If you actually do this, congratulations as you've observed one or more of the Galilean moon of Jupiter!