Why cant you place the Loop outside of the index.php?

This may sound like a stupid / noob question. But I’m curious to wonder as to why you can’t insert the wordpress php loop functions outside into say a blog.php file but you can in a index.php file?

For instance, when I try running all the loop code in say a blog.php file, and linking the pages up nothing shows. I’ve tinkered with the reading settings as well just to make sure nothing is off. However, when I move the loop php code into an index.php file the blog page will then display the pages.

Am I missing something, or is there a way to insert the loop into a different .php file instead of the index?

-Thanks,