I think because of Divine Revelation (the Holy Books)... it actually makes sense.
If God created us and placed us on this earth, there must be a purpose behind it. For example, look within us humans - we create something to serve us. So similarly God created us to serve/worship Him. Now, if He wants us to serve/worship Him, He must not leave us without guidance as to how to do that.
Can God seriously create us for a purpose and then leave us without guidance on the most important aspect of our existence, which is our reason for being ? Any rational/logical person wouldn't think so.
So that guidance is the 'Revelation'.
I just posted related to that in a different thread here :
http://www.religiousforums.com/forum/3721558-post13.html
Peace.