From my view as a long-term goalie...
They shoot there, because it's one of the very few options they have.
If you guard the near post and place the wall for the long post you have to run backwards, if the kicker aims for the long post. A curl shot (a shot with a high arc) would almost be impossible to save from there. Having to run backwards is a huge disadvantage, because you have to rely on your feeling for where the goal actually is when you keep your eyes on the ball. Running in the other direction is easier, because you see the near post when going for the ball. Knowing where exactly you are is important when timing a jump (extra steps cost valuable time and jumping too soon may cause you to not reach far enough).
Another thing would be players like Roberto Carlos who shoot free kicks like cannons and still get spin on them. They would have an easier target, because the closer side is open and the distance they need to cover is smaller making it effectively harder to save it.
And last but not least it is easier to shoot over the wall from a higher distance. So having the wall closer to the goal without giving up the minimal distance to the free kick spot makes it harder to score as well.