Because if you're doing something complicated, you have a bunch of stuff loaded up in short-term memory, and if an interruption throws it all out then it takes a long time to load it back up again.
If you're doing something simple, then it's just a matter of regaining focus. Sometimes devs are doing simple things and interruptions aren't such a big deal, but when we're deep into a debugging session or something it's more of a problem.
This is not to say devs are the only people who work on complicated problems like this, but plenty of non-technical people in software shops don't, and tend to not understand that interruptions are a real problem sometimes.