Most of Russia is the vast and almost completely empty expanse of Siberia. The large majority of the population of Russia is confined to the European part of the country, which, although still rather large by European standards, is not incredible. Because it is more northerly and is generally more inhospitable than the temperate European countries, and of course because there was so much space, there was not as much of an impetus for high density populations. For most of its history Russia was simply European Russia, however, due to its location, it was relatively simple for Russian colonists to expand eastward during the period of the Russian empire. Essentially, Russia is so big because they had access to a large area of land that nobody else wanted.

Nowadays of course every country on Earth would kill for all the resources contained in Siberia, but of course in the 18th and 19th century, nobody else could have predicted that taking all that frozen wasteland would pay off.

hi! there's some great info in these previous threads

How did pre-soviet Russia get so big?

How did a nation the size of Russia actually form? How long has it been recognized as a federation of people?

How was Russia able to form into such a large country?

Why are the largest countries by area so large?

Why is asia carved out into large countries over centuries of war, but europe is carved out into small countries over centuries of war?

The Russian state comes from the medieval duchy of Muscovy. They were surrounded by and paying tribute to the nomadic hordes left behind by the mongol conquests. As the state grew more powerful they were able to expand into the steppes and take over the lands that used to be ruled by the hordes as these became weaker and their armies technologically obsolete. After consolidating the lands of modern european russia they were able to colonize the vast empty lands of siberia which is where they really became gigantic.

EDIT: Another note:

Many regions with small countries are like that because they are mountainous and difficult to traverse. Think of the Greek city states in very hilly Greece, or the Swiss with their confederacy of very independent cantons up in the mountains. On the other side of the spectrum you have the sea empires with a focus on using ships, and steppe hordes with absolutely gigantic but relatively empty plains that can be traversed quickly by horse. Russia is mostly flat and open, with many large and important rivers by which you can trade, and as I said they expanded into the areas formerly held by the steppe hordes. This is how they were able to keep such a huge area together.