Maybe because it's really convenient being able to continue using the billions of cables and other devices in existence?
Also RJ45 is in fact already a minaturized/standardized alternative to various proprietary/national phone connectors that preceded it, and the basic idea was to be able to repurpose existing phone twisted pair installations for ethernet. Also, it can be made pretty small if actually needed, see the Xircom RealPort adapters from back in the day.
As far as big / bulky / annoying connectors, go, RJ45 is very low down my list.