Here's why:
* Nebulae are vast clouds of gas and dust. These materials exist everywhere in the universe, not just in our Milky Way.
* Star formation happens in nebulae. Since stars form throughout the universe, it stands to reason that nebulae, the "birthplace" of stars, would also be found throughout the universe.
* We can observe nebulae in other galaxies. Telescopes have allowed us to see nebulae in other galaxies, including the Andromeda Galaxy, which is our closest galactic neighbor.
So while we are familiar with the nebulae in our own Milky Way, they are not unique to our galaxy. They are a common and essential part of the universe.