If you mean "why" as in "what is the mechanism", then most things I've read indicate that it's caused by olfactory cues (smells in other words) causing the hormone systems of co-habiting women to synchronise.
If you mean "why" as in "what is the reason" then I am not sure that you can be quite so anthropomorphic as you have been - it may not confer any evolutionary advantage to all menstruate together, but also, it doesn't confer any evolutionary DISadvantage.
When we ascribe reasons to menstural issues, we often forget (as modern people with full control of our fertility) that in paleolithic times at the dawn of humanity as a species, most fertile women could well have been bred as often as possible, and that therefore women may have had many fewer periods in their life. This means that you have to be very careful in projecting reasons for issues relating to the timing of periods.
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Overhead, the Albatross hangs motionless upon the air,
And deep beneath the rolling waves,
In labyrinths of Coral Caves,
The Echo of a distant time
Comes willowing across the sand;
And everthing is Green and Submarine
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