Everyone needs a break from reality from time to time. While not the sole reason, this is one of the reasons of existence of art and artforms. Some do it with books, some with music and we do it via games. If your question is "Why specifically games?", well, there are an infinite amount of answers but I believe it comes down to "That's how it's came to be." Either we grew up playing games or got introduced to them by environmental factors at some point. These kind of activities tend to influence one's character, especially at early age. So in a way I'd say games found us, not the other way around.
If what you're asking is "Why do we choose to immerse in escapism?", I'd say there are a lot of things one does not like about one's life. And most of the time those are things you can't immediately change for the better, maybe never at all for you lack the knowledge, power and means to do so. While this topic is extremely subjective, I believe escapism is an evolutionary coping mechanism to give us a breather when we need it to continue living. It takes our minds away from what bothers us and to be honest video games are absolutely amazing at this task.
I don't think it's as bad as you make it sound though. Escapism doesn't necessarily make you a brick on the wall or make you chase after a delusion. As long as you are not abusing it and shutting yourself inside your own mind, I believe it's a pretty healthy thing to do.