Because that was a great feature that AoE (and some other games of the time had)
Single player and the Scenario Builder required a disc, but starting or creating a multiplayer game could be done without a disc in the drive (but with the game installed), you just needed 1 person out of a 3 player game to have the disc for it to work (2 disc for 4-6, 3 disc for 7-8 players)
Fond memories of LAN parties, dragging my computer to my friends or setting up some scrounged PC’s in an awesome teacher’s classroom to play during lunch. 
Oh wow I remember that! It would even say CD 1.0a (I only played RoR) if you had the disc! We won’t see this (RIP physical games), but it sure brings back some nice memories 
Playing on GameRanger, etc. still requires a “disc” per 3 players, however most players have found a way to not need to use the CD. Multiplayer is still much fun and easier to set up room with today’s online services.
Oddly enough teachers at 2 schools I went to would allow Age of Empires to be played on the computers, but not other games Didn’t stop a full library LAN session of another platformer game. But the first school was Age of Empires library sessions everyday after school
I had almost forgotten about that… my brothers and I would try and connect the ethernet cords directly from PC to PC, lol. AoE was the first time I actually learned to set up a LAN network without any guidance (I was young, ok?).
Later in life, we found a half-busted 20-port switch and started daisy chaining more and more switches together, playing anything from AoE to Quake, up to Xboxes and beyond.
Eventually, my friends and I ended up starting a yearly LAN party celebration event (all different kinds of games, not just AoE), in which we had to rent out space in some community or church halls, repeatedly flipping breakers and drinking way too much caffeine. For a handful of teenagers in a small-ish town, I’m kind of proud of us.
AoE was kind of what started it all for me when it came to networking for gaming once I realized all I had to do was take the disk out and pass it along.
My mate went through a phase of getting desyncs on his LAN when we were playing AOE was so ooo frustrating ‘Yay, awesome spot, double berries’ desyncs ‘Doh!’