Because that's how Microsoft chooses to licenses its Server 2003 product. It's limited volume. MS can either charge an outrageous amount for the initial Server 2003 license, or charge a fairly low price and then sell CALs. One way or the other, the R&D costs have to be paid.
If you could connect 1,000 PCs to a Windows Server without paying for CALs, then large corporations would be really happy. They'd only pay a thousand dollars for server software that covers their entire company. Or, MS could charge $20,000 per Server and give unlimited CALs, but that would make the software unobtainable for the typical small or medium-size company.
Instead, MS charges a low price for the basic Server software and then charges by the User or by the Device connected. Since servers are typically online for 4-5 years, the cost for a Windows Server 2003 User license comes out to maybe $10 a year per person.
It's really up to you. If you don't want to pay for CALs, then you can always try Linux. Only you can decide if it's worth the $10 per year per person for the Windows Server CALs.
