Here's why:
* Continents are large landmasses, and we generally think of them as surfaces we stand on.
* The preposition "on" is used to indicate a position on a surface.
* The preposition "in" is typically used for enclosed spaces or to describe location within something.
Examples:
* "I live on the continent of Asia."
* "Australia is the only country on the continent of Oceania."
* "We're going on a safari in Africa."