It's because the overhead space is limited. Airlines have spent decades trashing, losing, and delaying checked luggage, so everyone tries to cram everything into the overheads. Since there's never enough room for everyone to do that, higher classes have to board first so they can. It would be nice if first class could at least be at the back so the line didn't completely stall in reverse order, but they also want to get out (the front) first, and you will never convince the other passengers to wait for that.