It makes perfect sense from a technological standpoint.
For 3G systems virtually everyone else in the world besides North America uses GSM exclusively (NA is mixed GSM and CDMA), so if Sony is only to produce a single Vita then they need to use GSM, reducing their choices to AT&T and T-Mobile. From that, only AT&T uses frequency bands compatible with most of the world. The bands T-Mobile uses are at a higher frequency and fairly unique, so supporting them normally requires a different radio that works on T-Mobile's bands and loses support for several AT&T/world bands in the process.
This is almost exactly what Apple did with the iPhone for years. They produced a single world GSM model which only worked in 3G mode on AT&T (and unofficially worked in 2G mode on T-Mobile). Bringing on Verizon this year required that they produce a new iPhone specifically for that market. I can't imagine Sony wants to take the risk of producing what amounts to an American-only Vita given that they'd sell far fewer Vitas than Apple sells iPhones.
So while it's possible there was some kind of bidding war among carriers, I believe that they're using AT&T because they're the de-facto GSM 3G carrier. Perhaps in 3-4 years when LTE is widely deployed and cheap enough to integrate, Sony can upgrade the Vita to LTE and by extension add support for additional carriers.