Because we're in the northern hemisphere. In Australia they go around the other way of course. Dancing in central america and Africa understandably has some problems and so isn't as popular (besides, it's just too hot).
No seriously, two possible thoughts:
It's easier to go this way because the offset in the parntership makes right or natural turns somewhat easier, but they tend to be slightly underturned, and underturned naturals easily take you in a nice counterclockwise oval. Offset on that side goes back to various social customs, issues of which side you'd wear your sword on, whatever.
Other thought: well, which way do they go around in horse races? I don't know, but it might be similar