Gonna show you a picture of something:
That's a Roman Dodecahedron.
We've found over a hundred of them in digs, dating from the 2nd to 4th centuries. We know Latin and can read Roman texts. There's no language barrier and it's a familiar European culture. And elements of the Roman Empire were around in Europe until well into the medieval era.
And we have no idea what these are for.
There's no reference to them in surviving text and pictures. There's no evolution to modern deices that we're aware of. There are lots of speculation and possibilities but no hard proof.
So why Medieval Europe? Because we have an idea how things work. It's familiar and close enough to the present that their life hasn't been lost and things haven't changed.
Because while there's lots of movies about gladiators and Rome and Spartacus, we still don't know much about their life and might as well be inventing things.
Can you easily think what Roman music sounds like? What instruments they play. What would be served in a Roman tavern.
And Rome is familiar. We all know Rome. Ancient Egypt is even older. When Julius Caesar went to Alexandria the Pyramids were as old to him as the Roman Colosseum is to us. We know even less about Egypt and that region.
Then we add cultural appropriation to the mix.
Basically, it's bad form for traditionally colonial cultures to borrow cultural elements from colonized/ minority cultures. White North American's shouldn't be using the myths and legends of Mesoamericans or the Chinese or the Arabians.
Now, why go historical at all? Why not completely invent a new culture and world?
Well, because that's a lot more work. Now instead of being able to Google "did Romans have taverns" or "what music did Romans listen to?" you need to invent something. For everything.
And while you might think of some cool things, I guarantee you won't think of as many the cool things thought of by hundreds of people in a dozen European countries during even a fraction of the Medieval era. All the work has been done for you!
Plus it's also harder for people to picture. You need to explain
everything to your players because there's to common shared frame of reference. Because you can't just say "a bard walks into the inn's common room and strums on a lyre" you need to explain more, such as the instrument, where people gather, and what kind of person plays said instrument in said places.
And that can quickly bore the players.
But, thankfully, such a setting already exists. If you're tired of medieval European fantasy and want something different that doesn't have a lot of uncomfortable racial baggage, I am happy to direct you to Dark Sun.
