I asked my French teacher last time, and she said she didn't know, but she will ask. Can anyone give clear and simple reason for this?
The attachment of O and E (or of other letters) is called a typographic ligature. Ligatures were often used in ancient languages (such Latin and ancient Greek) to mark a diphthong or sometimes simply to make writing easier in pre-press times.
In modern French, the œ ligature is linguistic as opposed to aesthetic. It bears an important linguistic role, mainly because oe and œ are not pronounced the same. When you have an œ in your word, you will not pronounce the o and the e separately, like you would in coefficient, for example. As a rule of thumb, words of Latin origin will pronounce œ as
/ø/ 1 (for example œuf, sœur, œil, cœur) and words of Greek origin will pronounce it
/e/ (like fœtus, Phœnix, Œdipe). There are also a few words that pronounce it as
/ɛ/ (like œstrogène).
1 This is IPA for French, if you don't know it, there's a nice chart on Wikipedia.