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Because she kind of is central to the lore of the Zelda universe She's the incarnation of the goddess Hylia. You are her warrior of light who reincarnates time and time again when the world needs a hero to push back darkness. She is very much the central character and all the "why's" almost always revolve around her. Link might be the main protagonist and the player controlled character, but Zelda is the soul of the story. Goddess Hylia for the record is the legend, a story passed down the ages in that series.

People seriously still debate this? Nintendo answers this question for you if you play the freaking games.