Because weed have other cannabinoids which are transformed in THC (the active one) when heated. When you smoke, some of them are transformed in THC due the heat, but when you eat, there is no heat. So, you heat the weed before, to increase the amount of THC it contains. This process is known as decarboxilation.
You can find more info about this at:
http://boards.cannabis.com/experienc...your-weed.html