WHY the empty set is open depends on what your definition of "open" is. As CompuChip said, the most general definition of a topological space defines a "topology" for a set as being a collection of subsets satisying certains conditions- that among those conditions is that the it include the empty set- and any set in that "topology" is open.
But you may be thinking in terms of a "metric space" where we are given a "metric function", d(x,y) and use that to define the "neighborhood of p of radius \delta, N_\delta(p)= {q| d(p, q)< \delta} and define an "interior point", p, of set A to be a point in A such that for some \delta, N_\delta(p) is a subset of A.
Even then there are two ways to define open set. Most common is "a set, A, is open if every member of A is an interior point of A" which can be expressed more formally as "if p is in A, the p is an interior point of A". If A is empty then the "hypothesis", "if p is in A" is false and so, logically, the statement is true: A is an open set.
Another way to define "open set" is to define p to be an "exterior point" of set A if it is an interior point of the complement of A and define p to be a "boundary point" of set A if and only if it is neither an interior point nor an exterior point of A. Now we can define a set A to be open if it contains NONE of its boundary points. (Here we could also define a set to be "closed" if it contains ALL of its boundary points. Remember how in Pre-Calculus, we say that intervals are "open" or "closed" depending upon whether they include their endpoints?
It is easy to see that every point in the space is an exterior point of the empty set so it has NO boundary points. That given, the statement "it contains all of its boundary points" is true and so the empty set is open. Because it has no boundary points it is also true that the empty set contains all (= none) of its boundary points and so the empty set is both closed and open.