Humans have lived in and adapted to the natural environment for thousands of years - our current urban environments are relatively recent. So the outdoors may be a more "natural" place for us to be. Contact with nature has also been shown to literally "clear our heads" by reducing brain activity and helping us to recharge mentally. It is also about having a temporary escape from our normal routines.
Maller, C. et al (2005). Healthy nature healthy people: 'contact with nature' as an upstream health promotion intervention for populations. Health Promotion International, 21(1): 45-54.