Dog are descended from wolves that chased after mammals and birds for food, so the chase instinct is already present from birth. But domestication has also created a link between dogs and humans. Dogs actively seek play opportunities with us because they want our approval.
Consider the question from the other perspective: why do we like throwing things for dogs to chase? We like it because the dog enjoys it and we find its happiness rewarding. Dog and owner are engaged in a mutual back-scratching exercise, where the pleasure of one reinforces the pleasure of the other in a cycle.