tl;dr : Spices prevent our food from spoilage and we are so much accustomed to eat spicy food.

Some time back, I had the same question in my mind after my first foreign trip to Paris, France and Lisbon, Portugal. After a little bit of searching, I found a research survey (ref: Food bacteria-spice survey shows why some cultures like it hot).

The following are the main points from that survey:

• It is all because of bacteria and food borne pathogens: The chemical compounds of spices protect their plants as well as our food from food spoilage microbes and bacteria.

• It is genetic and it has become a habit: Our great-grand parents liked the spicy food, then since our childhood our mothers cooked spicy food that we loved, now we crave for the same, and probably our children will too.

• Countries with hotter climates used spices more frequently than countries with cooler climates: Indeed, in hot countries like India nearly every meat-based recipe calls for at least one spice, and most include many spices, especially the potent spices, whereas in cooler counties substantial fractions of dishes are prepared without spices, or with just a few.
  

• Thailand, Philippines, India and Malaysia are at the top of the hot climate spicy food list, while Sweden, Finland and Norway are at the bottom. The United States and China are somewhere in the middle.

• The "Eat-to-Sweat" hypothesis : People in steamy places eat spicy food to cool down with perspiration (like Chennai, Tamil Nadu, India (Madras)).
  

• Micronutrient hypothesis : Spices provide trace amounts of anti-oxidants or other chemicals to aid digestion.

• The microbes are competing with us for the same food: Everything we do with food -- drying, cooking, smoking, salting or adding spices -- is an attempt to keep from being poisoned by our microscopic competitors. They're constantly mutating and evolving to stay ahead of us. So as one of the way, we reduce food-borne illnesses by adding another spice to the recipe. Of course that makes the food taste different, and the people who learn to like the new taste are healthier for it.

• Main spices and their effectiveness:

1. Garlic, onion, allspice and oregano are the best all-around bacteria killers.
2. Thyme, cinnamon, tarragon and cumin kill up to 80 percent of bacteria.
3. Capsicums, including chillies and other hot peppers kill or inhibit up to 75 percent of bacteria.
4. Black pepper, ginger, anise seed, celery seed, lemon juices inhibits 25 percent of bacteria.

To conclude, I would say that there is the bacteria-spice connection behind eating spicy food in India or other hot climate countries.

TOP 30 SPICES WITH ANTIMICROBIAL PROPERTIES

1. Garlic
2. Onion
3. Allspice
4. Oregano
5. Thyme
6. Cinnamon
7. Tarragon
8. Cumin
9. Cloves
10. Lemon grass
11. Bay leaf
12. Capsicums
13. Rosemary
14. Marjoram
15. Mustard
16. Caraway
17. Mint
18. Sage
19. Fennel
20. Coriander
21. Dill
22. Nutmeg
23. Basil
24. Parsley
25. Cardamom
26. Pepper (white/black)
27. Ginger
28. Anise seed
29. Celery seed
30. Lemon/lime

Source: "Antimicrobial Functions of Spices: Why Some Like It Hot," Jennifer Billing and Paul W. Sherman, The Quarterly Review of Biology, Vol. 73, No.1, March 1998