Probably because it's easier to retain what the body wants than get rid of what the body doesn't want.
What does your body want to keep from your Urine? Pretty much water and selective ions (Cl-, K+, Na+, Ca+2, etc.). Maybe a few other things, depending on how healthy you are.
Now, what does your body want to get rid of in your Urine? Well, anything it can't get rid of in your solid waste. That includes pretty much anything water soluble that could harm you, whether it's Urea, chelating agents for heavy metals, ions your body doesn't want (excess minerals), excess vitamins, sugars (to maintain insulin levels), hormones, liver byproducts, and whatever dark horrors mother nature is concocting for us in the forms of virii or whatever else.
That's just the beginning of the list, but already you should start to see the impracticality of having active transport or coupled transport for everything. The list of transmembrane proteins needed to ferry all of the items your body wants to get rid of is a lot longer than the list of transmembrane proteins needed to keep what the body needs.
Then you have the "unknowns" - whatever else your body hasn't encountered yet, but will still be water-soluble. If the body required some sort of transport across membranes for everything it didn't want, then it would need to adapt to every single new compound it encounters. Given the relatively slow generation periods for humans, if a new compound turned out to be significantly fatal then the slow adaptation could spell disaster for any small populations and create serial bottlenecking events.
So, while it may not be energetically favorable to let water and ions pass into the Nephron and subsequent tubules to be reclaimed, Evolutionarily speaking it's probably strongly selected for. We may expend a lot of energy reclaiming water against its concentration gradient, along with whatever else we want from Urine, but at the same time we get rid of everything else we don't need that's filtered through the glomerulus. It doesn't matter what the "everything else" is - but we know we don't need it, and that's the big key.
With my current level of knowledge (B.S. - Biology) this is the best explanation I could think of, but I haven't read any specific papers nor heard any particular theories on why the kidney's components act as they do.