The very programs that they run are in fact data that are from a known source, either the internal hard drive, or perhaps a known and trusted local area network connection. With the rise of the Internet, it is now possible for anyone to get data from anywhere. Bad guys and good guys alike are thrown together onto the same, ubiquitous network. Thus, data that comes from an unknown source should be distrusted, since it could well be from said bad guy. The contents of email are such data.
Email often originates from outside of the local area network.
As such, it could be from literally anywhere, sent by literally anyone. If no one ever trusted any such data, the malware would fail to infect anyone. Thus, having been bitten by these sort of problems in the past, many users have demanded software that will take precautions to warn the user when something potentially dangerous has been requested. Software generally distrusts data it considers to be remote. But more important than the trust that software places in data is the trust that it places in users.