Dogs, wolves, cats, goats, bears, lions, deer, zebras, dolphins, and many other animals play. Heck, dogs and polar bears have been seen playing together. Young albatrosses "play house" with rocks instead of eggs. I'm not qualified to tell you why creatures play, but theories I've heard include increasing socialization in a group, increasing motor skills and safe practicing of vital skills.
Most people "need" entertainment to escape from their lives. The truth is, if you actually take the effort to improve your life, you won't see much need for entertainment at all.
The mind gets easily bored, so it needs stimulation. Every person decides how to stimulate it: some read, some write, some meditate, some fight and so on. Entertainment, in all of its forms, is just another option