I am pretty sure you can dig up historical material in Old East Slavic where the usage of prepositions and cases was different, or no preposition was present.
From the practical POV, though, the presence of у here in modern Ukrainian makes about as much sense as the weird lack of any preposition in modern English. After all, you do not play football in the same sense you play Hamlet or play piano, that much is certain. You are neither "using" the game of football to express something, not try to become football and behave like football. Still, English does not differentiate between these things. How come that does not strike you as odd? :)
From what I remember, the word "soccer" comes from "association football" which mean, football played by certain rules, because at that time there were many variants. In the end, some countries ended up using the word "soccer" and some "football" to denote that type of football, and later other types of football were not played anymore. I might be wrong, you can google the details if you're so interested in this topic.
Saying anyone who calls football soccer should be hanged is the same as saying that anyone who calls metro subway should be hanged.