Because for the type of scope where parallax is a factor, changing the magnification moves the focal plane/length of the image as it gets magnified, but not the reticle. 

Now for for a first focal plane setup, when you change the magnification you magnify the image and the reticle, so they stay on the same plane. Of course these tend to be the more expensive options out there, and part of the cost goes into this feature instead of other things that can improve performance, that something of the equivalent price may have.