OK, maybe not all of them, but by far most of the 5 mm LEDs I've ever handled are rated with I(max) = 20 mA and I've been using them for maybe over 15 years.
Why is this? Is caused by the size of the chip that 20 mA is the max? Is it because of historic reasons? Convenience to remember specs? Does a modern 20 mA chip not fit in a 3 mm package? Is it a dissipated power thing (guess not as blue LEDs dissipate almost double power with respect to a red LED).