This behavior is well-documented in MSDN, and is called "deferred execution". If you open documentation for almost any extension method in class System.Linq.Enumerable, in the "Remarks" section, the very first paragraph usually is:
This method is implemented by using deferred execution. The immediate return value is an object that stores all the information that is required to perform the action. The query represented by this method is not executed until the object is enumerated either by calling its GetEnumerator method directly or by using foreach in Visual C# or For Each in Visual Basic.