It's based upon the type of insurance you have. All policies are different. I don't know if you have different medical insurance types offered to you, but if you do -- you can investigate using a PPO or POS. In general, a PPO allows you to visit a specialist without a referral.
As for the money thing...I think it's a way your insurance company tries to save money by eliminating unnecessary trips to more expensive specialists. The insurance company prefers you are treated by your Primary Care Physician, with whom they have a pre-arranged reimbursement agreement.