Or trains that use the long tunnels under the Alps? There's not really any logic to it at all - anyone who wants to bring a bomb onto a train will always be able to find an easier target such as a much more crowded underground Metro service.
However some other services have had baggage screening, including high speed in Spain and some Thalys services. I haven't used them but I believe the screening is less thorough than Eurostar and may not happen 100% of the time.
My guess: The terrorist threat was considered a lot higher in the UK than in France or Spain when the tunnel was built. There were quite a lot of IRA attacks in England in the early 90's and the people in charge where probably worried that IRA would consider the tunnel a great target.