To understand why, you must realize how e-mail travels across the Internet. E-mail itself is simply a message made of text, like this article. Once the message leaves your computer, it passes through many different computers before it reaches its final destination. Any step along the way, someone clever enough, or with the appropriate security rights on a particular server, could look at your message. But don't be fooled into a false sense of security.
Corporate espionage is a growing market, and reading other people's e-mail is part of the job.
This has extended to e-mail sent by attorneys. The problems facing attorneys are two-fold. First, there is the issue of privilege and confidentiality. Beyond the legal aspects of these two concepts is the ethical duty to maintain your client's secrets. Thus, if you inadvertently disclose privileged information during the course of litigation, there's a possibility that a court won't allow the information to be used in litigation.