A native Spanish speaker could ask why do we capitalise them in English? The answer is the same, because that is the convention of the language. In English they are considered proper nouns, in most other languages they are not. If you look at many other European languages, you will see it is English that is the exception and not them. In German they are capitalised but then all nouns are capitalised in German. Italian doesn't, French doesn't, Portuguese doesn't, Spanish doesn't, Catalan doesn't, Russian doesn't, Greek doesn't. The list goes on and on. It is English which is the odd one out. 'Capitalizar' is a false friend by the way. It means capitalise, in the sense of making the most of an opportunity in Spanish. 'Llevar mayúscula' or 'escribir con mayúscula' are the right ways to say it.

Yes, I agree with Paul.