Now for the technical answer.
I think it's because our bodies were designed/evolved (depending on your world view) to survive on much exercise for relatively little/sporadic food supply (think spending all day hunting a rabbit/picking berries and wheat grain by hand).
Therefore the body quicly turns to storing energy whenever it can.
This is the Tegan's version of why is it so, brought to you by tegan's head. No responsibility is accepted for the accuracy or veracity of this answer whatsoever, I have no evidence to back me up.
35kg lost. (November 2005 - October 2006)
15kg gained again (as at October 2010).
Back to the drawing board - Let's do this thing!
"You can't change the winds, but you can change the sails"
"Reach out and take control of what lands in your lap"