In the games when Rock and Bug were introduced (Gen I), there were but a few Bug types. Three were Beedrill, Scyther, and Pinsir. All have some sort of sharp or otherwise harmful body part that more than likely would be able to crush, or at the very least, damage a rock. You can't have those three have neutral attacks against Rock, but have the other Bug types be not very effective, can you? Game Freak had to make it an all or nothing, and they chose the former.
Bug was also criminally underpowered (and still is, for that matter) in earlier days of Pokemon. They didn't need yet another type resisting them.
This is of course speculative, there is no definite answer as of yet.
Hope I helped!
