Why do you need an iPhone to set up an Apple Watch?

The Apple Watch needs the apps on the iPhone, which are not available on the Mac, for example Apple Health, Apple Fitness, Workouts, the Watch App to control the features and settings on the watch. Or 3rd party apps, which do not support macOS.

Plus, if you are using the cellular Apple Watch, your iPhone provides and shares the cellular plan for the Apple Watch.

The Apple Watch was designed as an iPhone accessory.

Even when used in a degraded mode for dependent children, it still needs the parent's iPhone.

If you do not want to own an iPhone that is sufficiently new enough to pair to an Apple Watch, then you should consider a different smart watch.

Apple has made its design decision.