Simple. They didn't have gear trains to make the wheel turn at a faster rate than you were pedaling. If the wheel were say, 2 feet in diameter, you would only go 6 feet for every turn of the pedal crank. If the wheel was 5 feet in diameter, you would go 15 feet for every turn of the crank. Bicycles with chain drives could have a gear ratio which obviated the need for such a big wheel.

Tl;Dr It made it go faster.

Mods: Sorry if this is more mechanics than history. Feel free to delete.

Penny farthings are direct drive, which is to say that the pedals are directly attached to the drive (front) wheel, without any sort of chain or gearing.

This means that your speed is limited to how fast you can turn your pedals, times the circumference of the wheel. In order to increase your speed past a certain point, you need to increase the circumference (and hence the diameter) of the wheel.

This question probably would be better answered in r/askscience. The reason is purely physics and has to do with the nature of the wheel as a simple machine.