Microwave ovens radiate high-energy waves with a short wavelength towards the food substance.
This energy is absorbed in the form of heat. The higher the energy of the waves, the less time it takes to heat the food to the desired temperature. The questioner asks why it should not work the other way round. But it does . . When you put your hot chicken in cold surroundings, such as a fridge, it will radiate waves, transferring thermal energy until it eventually reaches thermal equilibrium with the cooling system.