Probably several things. I think lots of people (myself included) don't enjoy the idea that we're being (potentially) accused of doing or being something that we're not.

Also, immigration officers are trained to ask penetrating questions and to interview people in such a way as to catch out inconsistencies in their stories.

And then, of course, is the fact that in many/most cases an immigration officer wields a lot of power that can potentially have a significant impact on the person being interviewed — resulting in either denial of entry or significant delay and unpleasantness.