It's a function of the structure of the US govt. Both parties do it pretty regularly, though the R party has been responsible for most of them in the past decade. It's kind of an "instant win" button a party can press to get legislation passed that ordinarily would have no other chance to get passed.

In order for the government to get funded, the funding bill has to pass the senate, house, and president, any one of those parties refusing to pass the bill can cause a shutdown. Trump, for example, used this power while president to try to force the addition of a border wall to the budget, but the democrats who controlled the senate refused to fund it. (At this point, senate and house had both passed a funding bill, it was the president's veto that caused the shutdown). Given that democrats controlled the senate, there was basically zero chance of this getting funded at any other time, as the funding bill would have to pass house + senate + get a presidential signature, so this was the point where Trump had the most leverage to get it done.

Other governmental systems have ways of dealing with this problem, all with their pros and cons. For example, in some representative democracies, if the legislature can't pass a budget within x days, the legislature is dissolved and snap elections are held. But this strategy only works if the legislative makeup changes as a result of the election which is no guarantee.