The answer to your question, simply put, is that searching for extra-terrestrial intelligence in radio waves is what has paradigmatically been done for the longest time. Put another way, it's what has got the most traction. Specifically, we can draw this back to the Drake Equation
N = R_* \times f_p \times n_e \times \times f_l \times f_i \times f_c \times L
which has motivated SETI's searches since it was first postulated in 1961. Now, the Drake Equation is nothing more than a wild guess. Out of the seven terms involved, only the first two--the average rate of star formation in our galaxy and the fraction of stars that have planets--are things that modern astrophysics has given us quantitative estimates for. The remaining terms involve very vague notions such as the fraction of planets that can develop life, the fraction of planets that actually develop life, the fraction of those that evolve into civilizations, etc. Crucially, $f_c$ is the fraction of civilizations that can communicate via radio waves.
There is no ground for this other than Drake thought it was a good idea to search in the radio band, and by now millions of dollars have been invested into these searches. I actually attended a talk given by someone from SETI about their recent work and frankly, I found their entire approach to be seriously wanting.
Shortly put: they keep doing it because they can still get funding to do it and nobody has argued for more effective use of those resources.