I think to understand how this comes about you need to appreciate two things.
Sets are conceived as abstractions of properties. Two properties might have quite different meanings, but if every object with each property also has the other, then the properties correspond to the same set. Properties are a complicated idea, and sets are intended to simplify this complicated idea: if two sets contain the same elements, they are the same set, even if they were defined in very different ways.
One important consequence of this is that there is only one empty set. The property of being an even prime number greater than 10 is nothing at all like the property of being a living crown prince of the Ottoman Empire. But the two sets are the same set.
Consider the following common-sense claim:
If all rubies are red, then all rubies belonging to MJD are red.
As it happens, I don't own any rubies. The set of rubies belonging to MJD is empty. If you don't agree that all the rubies in the empty set are red, then you should deny the common-sense claim above. You should want me to qualify it:
If all rubies are red, then all rubies belonging to MJD are red, if there are any.
We would have to to include this unimportant qualification every time we made a claim about elements of any subset of anything. This would be unhelpful. So we agree that such claims can be vacuously true: if all rubies are red, then all my rubies are red, whether I have any rubies and even if I don't.
When these two ideas come together, one gets the odd-sounding claim that every element of the empty set is red. (I own no rubies, so the set of my rubies is empty, and every ruby in that set is red, because every ruby is red.) But if we want sets to work as abstractions of properties, we have to accept that every element of the empty set is red.
By the same reasoning, every element of the empty set is blue, because all my blue diamonds are blue.
If you don't like that every element of the empty set is both red and blue, you need to find a way to say that the set of all my rubies is different from the set of all my blue diamonds. But this is exactly what what we don't want to do; it's exactly the complicated situation that sets were invented to simplify.
When you simplify anything, you necessarily lose some of its nuance. There is a philosophical distinction between the property of being one of my rubies and the property of being one of my blue diamonds. Set theory intentionally discards this distinction.
And anyway what is wrong with the idea that every element of the empty set is both a red ruby and a blue diamond? There aren't any things that are both red rubies and blue diamonds, so the set of all such things ought to be exactly the empty set.