I have asked this question on P.S.E. and have gotten some nice answers, but I felt I might get even more satisfactory answers if I post it here.
"I have just now noticed that Griffiths (in his book Introduction to Quantum Mechanics) defines the complex inner product as $\big<z,w\big>=\sum_{i=1}^n\overline{z}_iw_i$. In all mathematics books (I study math and physics) I have ever come across, it is defined as $\big<z,w\big>=\sum_{i=1}^nz_i\overline{w}_i$. Maybe there is an answer to this question, maybe there isn't, but why on earth is this defined differently in physics than in math?"
I'll be glad to see someone make the case for mathematics, and let me know if the question shouldn't be asked here.
It is just a convention.
@Bye_World's explanation is a good justification of the physicists point of view.
We mathematicians probably just thought "We want it to be complex linear in one slot, and complex antilinear in the other slot. Might as well make the first one complex linear."