The short answer is: because it needs to be. Even at a cursory examination, it is common to hate the person who gives us bad news. Our default wiring says that they are responsible for our unhappiness. They ruined our mood and should be punished for it.
The problem, of course, is that it is irrational. Learning information may make you unhappy, but the person informing you didn't make it happen. He simply stated facts that you didn't want to hear.
What's screwed up, though, is that, in a certain light, the irrational thought almost makes sense. Technically speaking, that person was responsible for making you unhappy. If they never told you, you would still be blissfully happy. Granted, it is the bliss of ignorance, but bliss nonetheless.
What most people don't realize, though, is how much people don't want to be the messenger. People wrack themselves with guilt when they tell others bad news. When we say something that pisses off others, we feel bad. We feel responsible for their unhappiness.
"Don't shoot the messenger" is a saying that wonderfully captures the irrationality of the human mind. But what it shows us about ourselves is so much deeper than the one example we tend to think of.