Many believe that it is because there is an artery in that finger that runs straight and is nearest to the heart.
There is a beautiful and convincing explanation given by the Chinese.....
(ps - dont just read, try it out)
Thumb represents your Parents
Second (Index) finger represents your Siblings
Middle finger represents your-Self
Fourth (Ring) finger represents your Life Partner
& the Last (Little) finger represents your children
Firstly, open your palms (face to face), bend the middle fingers and hold them together - back to back
Secondly, open and hold the remaining three fingers and the thumb - tip to tip
(As shown in the illustration below):
Now, try to separate your thumbs (representing the parents)..., they will open, because your parents are not destined to live with you lifelong, and have to leave you sooner or later.
Please join your thumbs as before and separate your Index fingers (representing siblings)...., they will also open, because your brothers and sisters will have their own families and will have to lead their own separate lives.
Now join the Index fingers and separate your Little fingers (representing your children)...., they will open too, because the children also will get married and settle down on their own some day.
Finally, join your Little fingers, and try to separate your Ring fingers (representing your spouse).
You will be surprised to see that you just CANNOT....., because Husband & Wife have to remain together all their lives - through thick and thin!! (can only separate for a small distance right? - that means must give each other some breathing space!)
ISN'T THIS A LOVELY THEORY?