Evolution. Fat is the most calorie dense food, so any organism that likes fat is much more likely to eat it, get more calories, and survive times of scarcity. Over time, that results in basically every creature that's capable of metabolizing fat finding it delicious.

Too much fat is bad for you but that's a *very* recent development...for essentially all of history (and still only for a small fraction of the world today) calorie deficit is far more likely to kill you than calorie excess. There hasn't been enough time for this to evolve back out.