Maybe when this was invented, the bundle of straw was the best they could do, I don't know, but surely today you can produce a more visible, more robust, reusable and, ironically, cheaper sign than that.

Maybe, but this has a few advantages.

If there were some reusable item (whatever that may be) it would need to be stored somewhere accessible to the construction crews, would eventually need to be repaired or replaced, and depending on how it's made may need to be customized per installation.

Hay and rope are readily available and (depending on the rope) biodegrade so could fall into the river with pretty minimal pollution. I imagine back in the day they were both just borrowed from a local farm or stable.