It's because they wanted to hack control flow functionality into expressions. Returning None is actually returning something, but never is just a placeholder for any type when they want to do things that may exit the expression entirely. This is an example in the docs

let num: u32 = match get_a_number() {
    Some(num) => num,
    None => break,
};

Break exits the expression without ever producing a value.

This is an unfortunate wart to appease a desire to those that want to be able to write code like they do in legacy languages. There should have been better ways to do this without being a hack IMO