I have always been curious about this too. A few years ago, about 10+ of us missed the connecting flight to BRU because our plane to ORD was late.... it was frustrating to run to the gate to see the plane still at the gate... but they would not let any of us on.

I'm guessing its because
a) while we were able to run to the plane... our luggage to transfer would have taken some time?
b) they had ample seats available on other flights via LHR and a couple of other European cities, to help eventually get us to our destination

Still annoying, since there were so many of us and it was an intl flight... i got to Brussels about 8 hours later than planned.