Simple answer: Because you are MOVING!
Complicated answer: The transfer case gears are not synchronized like the transmission gears are, and the difference in ratio between high and low is roughly the same as the difference between 1st and OD. To get the gears there to line up and drop in without grinding, you basically have to come to a complete stop so that both sets of gears are not moving.
If you are really good at speed shifting you may be able to kill your engine and catch the gear as it spins down. Due to the fact that you are asking this question, I'm going to assume that you do not possess that level of skill and discourage you from trying.