Asteroids are celestial bodies because they fit perfectly into the various reasons that classify the sun, moon, stars, to be called celestial bodies. Celestial bodies like the sun, moon, asteroids, stars, are called celestial bodies because they exist outside the atmosphere of the Earth.
Asteroids are relatively smaller when you compare their sizes with that of the planets, and that is why they are not usually referred to as planets. It is believed that they are leftover objects that did not coalesce or stick together to form a single mass. Other reports also revealed that they were formed when a planet that existed before exploded.
While this is really not that important, it is important to know that asteroids also move around the sun, and they don't have regular shapes. Also, while the majority of them exist in the main asteroid belt, others are found in the orbit of some planets.