Investors buy (and hold) more puts and pay up more for them for a few reasons. First, people fear downside more than they like upside as shown by Kahneman and Tversky (1979, 1992). Second, people may not be able to recover easily (or at all) from downside in the macroeconomy. In classical finance terms, if we think crises are different from times of stable growth, put options allow you to trade a state variable on macroeconomic distress (which the ICAPM says should be priced since it is valuable).
This is the whole point of the Bondarenko (2014) expensive put options literature. See Figure 1 in the Bondarenko paper to see that puts having larger trading volume (and open interest) than calls is not new.
As for why this does not hold for single stock options: That is probably because an individual stock is an even noisier measure of the prospects for the macroeconomy. In fact, we see slightly more calls being traded. It could also arise from portfolio managers selling covered calls as an income-generating method which also conditionally rebalances their portfolios.