We don't really call it that anymore, well, Lutherans don't anyway. We call it the divine service.
This goes back to what I said about tradition a few posts back, but we do not throw out ancient practices of the Church for no good reason. Lutherans have kept what is beneficial from the past and only jettisoned that which is contrary to the Gospel.
We still begin our services by invoking God's Triune name. We recite or sing the Psalms. We read from the Scriptures, sing hymns, hear a sermon centered on Christ, recite or chant age old Christian verses. We still celebrate the Lord's Supper with frequency.
Of course not all Lutherans (probably not even most Lutherans) celebrate the Lord's Supper every week. I believe that is more out of a high respect for the preached Word than it is out of a lack of understanding about the Supper.
But why do we retain all of these strange things? As my brother-in-law once asked, "What draws you to a church that is so traditional?" It is the simple fact that in this form of the divine service, with all its ancient structure and biblical insight, people are taught about Jesus Christ. They are fed Christ in this service. Changing the form runs the risk of loosing Jesus at the center of it all.
I hope everyone had a blessed Thanksgiving holiday!