Most people don't just participate passively in a research project. They are trying to figure out what the study is about. And, they are likely to base their behavior on what they guess, not just on your treatment. In an educational study conducted in a classroom, students might guess that the key dependent variable has to do with class participation levels. It is this labeling issue that makes this a construct validity threat.
Many people are anxious about being evaluated.
Some are even phobic about testing and measurement situations. In both cases, the apprehension becomes confounded with the treatment itself and you have to be careful about how you label the outcomes. The researcher can bias the results of a study in countless ways, both consciously or unconsciously. For instance, the researcher might look pleased when participants give a desired answer. If this is what causes the response, it would be wrong to label the response as a treatment effect.