Originally this was done to avoid cheating on early roulette wheels (old fashioned roulette wheels often had a bias to one side of the wheel or the other, which would have made it easier to win if the player knew which set of numbers won more often). The numbers are purposefully arranged in a non-sequential order. The American roulette wheel has all of the numbers from 1 to 36, plus a 0 and a 00 square, for a total of 38 possible numbers. In fact, the numbers are aligned in a seemingly random order around the wheel, and the sequence is different depending on whether you are playing European or American Roulette.
First time roulette players oftentimes assume that the numbers on the roulette wheel simply go in sequence from 0 to 36.