Why do most space movies contain sound?

Because audiences expect it, and will enjoy the movie less if it's missing.

Sound is a very crucial form of information transmission for humans; we rely on sounds non-stop to process our environment, often without even realizing it. Movies take advantage of those often subconscious sound cues to bring out the intended emotions in a scene. They also rely on sound as a quick way to convey certain actions or events without having to waste dialogue.

For better or worse, we have been conditioned to expect some of those audio cues in certain points in a movie. Weapons make noise, explosions make noise, rockets make noise, etc.

If a filmmaker were to film, for example, a space battle without sound, it would have significantly less impact than the equivalent battle within an atmosphere, because our brains would find the noiseless environment eerie and unnerving. In fact, the few movies that have successfully portrayed the silence of space (such as 2001) were specifically going for that emotional response.

To be fair, it's somewhat strange that people single this aspect of space movies out of the dozens of mistakes we take for granted all the time. Guns don't work the way they do in movies; injuries don't work the way they do in movies; cars rarely work the way they do in movies; computers don't work the way they do in movies; explosions don't work the way they do in movies. Sound in space is just one more thing on that very long list.

There is sound 'in space', up to a point.

Sound can't propagate through a vacuum, because you can't make anything vibrate.
Sound can be propagated through objects that happen to be surrounded by vacuum, and/or the air inside those objects - wearing a spacesuit, you can hear the machinery in the suit, or someone tapping on it, or the radio mounted in it. If you were walking on Mars, you'd be able to hear your own footsteps.

On floors that vibrate (Sci-fi metal!), you could hear the footsteps of people nearby. You could certainly hear the engines of any ship you were in.

I don't remember any scene in The Martian with unrealistic sound - everything audible makes sense from Watney's (or someone else's) perspective.

EDIT: As commented, Mars isn't technically a vacuum, but the atmospheric pressure is less than 1% of Earth's, so human-audible sound wouldn't travel over any meaningful distance. People wearing helmets can still hear things, as described above.

(Aside, the ship-blowing-over thing in The Martian is the only really wrong thing in that movie because of this. They even make the point later, where a tarp will work because of the thin atmosphere).

EDIT2: On further reading, the density of Mars' atmosphere is about 7% of Earth's because it's almost all CO², so you actually could hear loud sounds over a few metres.

In movies, it is extremely common to have a "virtual microphone" which is much closer to the action than the camera. If a football movie included a conversation between a couple players that was filmed using a telephoto lens from 200 feet away, it would generally be absurd to suggest that the dialogue should sound like it would sound from the point of view of the visual observer (including a 0.2-second delay). Instead, the sound should be as perceived by the characters who are the center of attention. When several characters in the scene merit attention, sound that would be audible at any of them may be audible to the audience.

It's entirely plausible that firing the weapons on a space fighter might cause significant vibrations in the frame which would be perceived as sound to anyone inside. The sound may not be audible to any other participant in the battle, but it would be difficult to really convey the idea that each participant would be hearing a different set of sounds. It's much easier and practical to let the audience hear sounds that some involved character would hear.