And lo and behold, they have decided that an anonymous class with only one method is equivalent to an anonymous function object, and given us syntactic sugar to invoke it without the class declaration boilerplate.
You're essentially doing the same as complaining that conditionals aren't a Smalltalk language feature.
Contrast with JavaScript, where functions are first-class, can be declared at top level, can be passed as arguments to and returned by other functions, can be called by dereferencing a variable, can be nested, can be partially applied, etc.
The minimal syntactic sugar for anonymous inner classes added in Java 8 doesn't even begin to approach the power of the function support in languages like JavaScript. Language-level support for this stuff matters.
Many uses of first-class functions is for reducing boilerplate to begin with.