There are much more countries with smaller area in Europe than any other continent. Why is that?
For one thing, the countries on the other continents, are largly the result of European colonization -- and only some countries (England, Spain, Portugal, France, Holland and Germany) participated.
Take North-America... There were many "nations" of Native-Americans, but after the Europeans were through, some were extinct, some decimated, some assimilated (their culture and language destroyed, and sometimes mixed with colonists and/or slaves) -- and all either part of the USA, Canada or Mexico. In South and Latin America there had been empires before, so there were some "unification" already.
In India all the local kings (maharajas) became just "local-kings" under the English throne, and even after the British withdrew, these local kings didn't get back their autonom self-govern.
In Africa, there were tribes -- often hostile to eachother. But European countries didn't care about this when they partitioned Africa among themselves, which greatly reduced the number of "nations", since the post-colonial countries followed the division made by the colonists rather than older tribal divisions... which of course have caused problems (e.g. Rawanda).
As for Europe itself, you can trace the different groups, their wars against eachother, and how the winner "created" the new country -- with it's own culture, history and language, that through history diverged from that in the countries around. (Not that there really were national states yet).
There were lots of local kings and noblemen, that through war, marriage and political manouvering ended-up as larger countries -- a process that was repeated several time. Often with the "tribe" or familiy who won, ending-up naming the country -- e.g. Sweden and Denmark. So it's really a wonder there isn't more countries in Europe. For example there where 4-5 kingdoms in Ireland, there were several kingdoms in Wales, and there were several tribes/ethnitical groups in England. Then there were lots of minor prinipalities etc. that would be united to France... and others that later would become Germany... and still others which became Italy. Of course they shared some history, culture, religion and language; but several of the ones who later united, had been in war against eachother too.
So short answer, european imperialism and colonization greatly -- and "unnaturaly" -- reduced the the number of tribes/groups which else may have become independent nation elsewhere on the globe.