Lots of reasons, I expect, but here's one: you know you need to be careful, and spot what your opponent is threatening, but your next move might create a new threat that wasn't there before you moved!
1. When you move a piece, it attacks/defends new squares, but will also stop attacking/defending some squares.
Have a look at the two sets of positions of before-and-after below. White wants to attack h7,
so moves from d4 to d3. The squares that White is thinking about are shown in colour on each diagram.
But what actually changed on the board when White moved? Quite a lot!
Attacked squares: 14
Still attacked: 14, newly attacked: 14, no longer attacked: 11
So although you may be paying attention to one idea and one square, your move might make many changes across the position.
2. The piece you move may upset your position, not because of what that piece no longer attacking or defending, but what it is now blocking or stops blocking. Have a look at these two horror stories:
One loss because a piece stopped blocking an attack, one loss because a piece blocked a defence.
This is what is so wrong about holding on to a piece, moving it to a square, and looking around to see what might take it. The danger may be something totally different!