According to a friend of mine who lived in Italy for 16 years, putting the same locking mechanism on both sides of a door was half the cost of putting a different one on the inside. He also said that people in Italy feel much safer if they are able to lock themselves inside with a key instead of just a knob.

He also said that since most homes are made of cement and metal rather than wood, there's not as much panic about getting out of a burning house.

So, there are a couple of explanations as to why it's that way. It would have creeped me out, too.