Think of it like this: A group of people finally finish colonising their entire planet and decide 'Let's go to the final frontier! Every Single Other Planet In The Entire Universe!'. From this standpoint, it's easy to see that they should make more frontiers, like maybe the nearest planet, or the rest of the solar system, or the entire stellar neigbourhood. But not the whole Universe, because that's too big a frontier.
Also, space is more of a medium the planets are in, rather than an actual frontier. People sailing to america didn't consider the oceans to be a frontier, more of an obstacle to the actual frontier.
--Thomas
