I think for many people, they say "just friends" because there aren't many things they'd do with friends compared to what they'd be willing to do with a romantic partner. This is mostly referencing sexual activity, but it can be other stuff as well - taking them out to eat, buying surprise gifts, living together long term. For many people, being friends with someone limits what they can and can't do with them - particularly for men. Men are less likely to be physically affectionate with friends and less likely to be as emotionally vulnerable with them. This would therefore create the false idea that friendships are inferior to romances, in large part due to the societal boundaries on what is and isn't acceptable for friends to do. Aros face this pressure, too - QPRs exist as a way to make a relationship with someone that doesn't have to restrict itself to the boxes of being friendships, romances or even sexual relationships for some. This is just my thoughts on why the phrase originated.