The string normally attaches so that it is effectively tied to a point on the ball's surface. Naturally, the attachment point is pulled by the tension in the string. The side of the ball where the string comes out will be pulled to face the center of the circle. If the ball did not rotate to begin with, it would start to rotate because of this torque. So the ball rotates.
If the string were not tied to the surface of the ball but were connected to an axle through the ball's center which had some sort of magical frictionless bearings then no such torque would exist and no such rotation would need to start. This is essentially the situation for satellites in orbit. The effect of Earth's gravity is effectively applied on an orbitting object's center and is almost completely frictionless, so orbitting objects experience negligible net torque from gravity and are free to spin independently of their orbits.
As it turns out, gravity is not entirely frictionless if you consider tidal effects. So satellites such as the moon can become "tidally locked" to the Earth and rotate once per revolution, just like a ball on a string.