Because () doesn't call a method, it's simply used where a method call occurs. To call a callable object, you use #call or (as mentioned by epochwolf) #[], the latter of which I personally detest.
In Python, you can make anything callable by providing a __call__() method, and the parentheses will work as expected. This makes functions fungible with anything, including any object or anonymous function.
In Ruby, only methods are callable, and everything else must be called with the call() method, which means you can't use one in a place where the other might be expected. They're two concepts with the same verb--call--that require different syntax. It's inconsistent.
You can also make anything callable in Ruby: just provide a call method. The parenthesis will still work as may be expected in Ruby, but, as several folks said before: in Ruby parenthesis are not used to call anything. A method is called simply be mentioning it. Anything that follows is an argument and sometimes parameters are needed for disambiguation of the parameters. This is counterintuitive, only because it differs from most other languages. If you want to postpone evaluation, you have to wrap the method call in a closure that you .call later: in Ruby a method is not a closure and not a function pointer. It's different than in many other languages, but that alone doesn't make it inconsistent.
Thank you--this is a good explanation of why the parentheses don't work on anonymous functions: Ruby's immediate calling essentially forces you to choose between "objects that you can call like methods" and "objects that you can easily pass around." This hearkens back to carbon8's comment (http://news.ycombinator.com/item?id=1141245); viewing Ruby's handling of first-class functions as "inconsistent" definitely betrays a Python-centric view of things.
In that sense, I see why it's not so bad; the difference between methods and anonymous functions is very explicit, and when you want to pass things around, it's likely that you will have target code which expects a Proc object and source code that generates it. Perhaps it's not so bad because there are few legitimate use cases, if any, for transporting a method when an arbitrary block is expected.
Procs (lambdas, procs and Proc-wrapped blocks) and Methods are callable and all respond to #call.
As wycats pointed out in a post earlier this year (http://yehudakatz.com/2010/02/21/ruby-is-not-a-callable-orie...), the reason you don't need to explicitly call #call on methods is that Ruby is designed for the common case of calling methods. In addition, it's uncommon to even explicitly use #call or #[] on Procs since calling them is built into the language via yield.
Lua is a great little language... I only really 'discovered' it a few weeks ago and have really enjoyed what I've seen so far. I don't think it will replace Ruby for me, but I like it's minimal feel for comparison...
It's fun to contrast this with Lua, by the way.