The contents of email are such data. Email often originates from outside of the local area network. As such, it could be from literally anywhere, sent by literally anyone. If no one ever trusted any such data, the malware would fail to infect anyone. Thus, having been bitten by these sort of problems in the past, many users have demanded software that will take precautions to warn the user when something potentially dangerous has been requested.
Software generally distrusts data it considers to be remote.
But more important than the trust that software places in data is the trust that it places in users. This is as it should be, for computers are the tools of humans. However, to maintain the integrity of the computer and its data, a basic dependency upon the user is now placed. And the answer is that many times, the user is not. As long as there are users who can be fooled, malware will continue to plague us.