Wild dogs thousands of years ago had to chase their food or go hungry plain and simple. The dogs that were the fastest survived and lived long enough to breed puppies with their genes and hunting skills. Fast forward to present day and we have a species that still has that instinct to run and chase.
Now modern dogs know the difference between a squirrel and a ball but the passion for "fetching" has been seeded in them and now it's not for survival but for fun! Dogs also love the sensation of holding something in their mouths as they were bred to do for centuries (hunting duck, etc). In addition, dogs love to please their owners and when they can retrieve a slobbery ball back to their master then it is a great day in the dog world.
Why do some dogs prefer tennis balls? Here is what some experts have to say about dogs and their obsession with tennis balls:
Why Do Some Dogs Love To Fetch And Others Don't?
If you have a dog that wasn't bred to hunt and retrieve then your dog may not have that instinctual drive to play fetch. If your dog was bred for protection they may never want to chase a ball. All dogs are different though and they are as individual as us humans. I have seen yorkies who LOVE to play fetch and I have seen labs that have no desire to run after a ball.