Basically, because cold fat (shortening, butter, or bacon fat), when cut into the flour, helps to suspend it all throughout the dough. Then, the little bits of cold fat melts throughout the biscuit as it bakes, making air and bits of steam that help the bread rise and be fluffy. It helps create a tender crumb to the biscuit with flaky layers and a gives the dough a good rise. Conversely, warm fat will just mix into the dry flour and not give that air and steam that helps them to rise and be fluffy.