Hey Kinderchicklets, that's a very good question and it's a question that adults ask me all the time too.
Peregrines are birds-of-prey and there are lots of other kinds of birds-of-prey and they all live in different kinds of nests - some on the ground, some in trees or on cliffs. Snowy Owls make nests on the ground in the Arctic, Burrowing Owls nest in burrows in the ground that are dug by prairie dogs, grounds squirrels and badgers and Saw-whet Owls often nest in Wood Duck nestboxes. Eagles and Ospreys make huge nests of sticks on dead trees or on hydro poles - their nests keep getting bigger each year they come back until it collapses, then they start all over again.
American Kestrels are the smallest of the falcons that live in Manitoba and they nest in cavities (holes) in trees or buildings or sometimes in Wood Duck boxes just like Saw-whet Owls. Merlins are also falcons that live here - they are bigger than American Kestrels but smaller than the Peregrines. Merlins don't make nests, instead they steal nests made by crows before the crows come back to nest in the spring. When the nest gets too old or starts to fall apart, the Merlins find another crow's nest to use. Peregrines nest on cliff ledges and that's why they like to use ledges on buildings in cities. Being up so high helps to keep their chicks safe and makes it easier for the Peregrines to hunt and defend their nesting territories (their homes). On the ledges the Peregrines choose there is gravel so they make a shallow bowl in the gravel (called a scrape) to keep their eggs safe during incubation. This scrape works very well, so the Peregrines don't need to make more elaborate nests made of sticks.
The Peregrine Chick