Why is Data Explorer tool accessed only by clicking the word "Data" at the bottom of the page?
Because the domain it links to is
The naming scheme is consistent in the UI with API which links to
The tool is technically not called Data Explorer. Its name is Stack Exchange Data Explorer, often shortened to SEDE.
I don't think the link needs to change. The name covers what you would expect when clicking on it: You get to a site where you can work with Data. If you wish you can explore existing queries or write your own queries to get new insight on Data.