A typical mall would have a food court, a large arcade for kids, a daycare (or two), pharmacies, coffee shops, a book store, a furniture store, and so on. Also, unlike from what I've seen here in the US, any decent mall must contain a large supermarket (usually Carrefour). Malls in the UAE are therefore a "one stop shop" that people go to every week to buy groceries and household supplies.
Given how hot it can get over there, it makes absolute sense to have everything in one, air conditioned building.