As other have said, the answer to "why ?" is basically "because !". It is the definition of quantum physics.
However, one could have an answer linked to the anthropic principle, which is basically :
If the particle energy would not be increasing with its frequency, the blackbody radiation would have an infinite power, because of the ultraviolet catastrophe.
Let's suppose the energy of a photon to be $\varepsilon(\nu)$. In quantum physics, $\varepsilon(\nu)=h\nu$, but we are precisely exploring other possibilities.
If $\varepsilon$ were constant or decreasing, when $k_BT$ is at least of the order of $\varepsilon$, each mode of the electromagnetic field would carry an energy of the order of $k_BT$. Since $\nu$ is a priori unbounded, there are infinitely many modes, and the sum is infinite. This problem, is the ultraviolet catastrophe and was solved in 1900 by Max Planck when he established Planck's law. (Edit: The previous sentence is historically inaccurate: Planck did not want to solve this problem, which was only stated in in 1905.)
If $\varepsilon$ increases with $\nu$, then the average population of the high frequency modes decrease exponentially, allowing to sum over all the frequencies and have a finite integral.
More quantitatively, the population of a mode with frequency $\nu$ is $P(\nu)=\frac1{e^{{\varepsilon}/{k_BT}}-1}$ and Planck's law is
$$ I(\nu,T) =\frac{ 2 \varepsilon\nu^{2}}{c^2}\frac{1}{ e^{{\varepsilon}/{k_BT}}-1}.$$
If one wants the total radiated power $\int_0^{+\infty}d\nu I(\nu,T)$, one needs $\varepsilon(\nu)$ to increase fast enough ($\varepsilon\propto \nu^l$ seems enough $\forall l>0$, but $\varepsilon\propto\log \nu$ is not fast enough.)