There are several ways to answer this question; I'll tackle two: the embryologic answer and the teleologic one. Embryologically (ie, during development), the lungs develop as an outpouching of the foregut, the first part of the gastrointestinal tract that runs straight through the center of the body. As the lung bud grows and descends from its origin in the foregut, it begins to divide multiple times. The first division forms the primary bronchi, the next division forms secondary bronchi, etc. Successive divisions of bronchi make smaller bronchi and bronchioles, until ultimately division ends with the air sacs (called alveoli). It's because of all these divisions of the lung bud that we have so many alveoli. A teleologic answer gets to the bottom of why it's important to have so many alveoli. The short answer is that for the lung to to its job of exchanging oxygen and carbon dioxide gases, it needs to have a large area of contact with air from the environment. Having many alveoli results in a large surface area for gas exchange.