Because a lot of the time they don't even realize it's an interview question.
Here it is:
"Do you have any questions for us?"
Make no mistake: this is an interview question.
Do NOT say "no".
Star candidates use this opportunity to show interviewers that:
(a) they're prepared;
(b) they've given the role considerable thought;
(c) and they have one or two informed and insightful questions about what the role requires and what "success" in the role means.
When you reply with a simple "no", you're communicating the exact opposite of all those things I just listed above. In some cases, I might even go as far as to say that how you respond to this final question could seal your fate.
How should you respond?
Understand that the purpose of your asking one or two informed questions is not to gather information; it's so that you can convey information.
As a starting point, I'd look at the traits and attitudes a hiring manager is looking out for in their ideal candidate. (You do have this information, don't you?) Then, craft a question or two that makes it clear -- without appearing manipulative -- that you've thought about the role and your candidacy in a way that is consistent with these same attitudes.
If Acme Inc. is looking for a "results-orientated and competitive" sales leader, then I might ask something like this:
"How does Acme Inc. define and measure success in this role?" (Don't assume it's sales. They might be looking for leads or even opportunities.)
Then I might follow up with:
"And what's the current record that I have to beat?"
Do you see what kind of information these two questions convey? All other things being equal, well-considered questions like these can be the difference between getting the job and narrowly losing out.
Hopefully, this example helps.
However, if this is something you need to work on, then I urge you to take a look at the "Launch" section of Interview Success Formula.