Unless the cpu top face and the heatsinks bottom face are PERFECTLY flat then there will be a small gap between the mating surfaces. The thermal paste fills the gap with a suspended conductive medium (copper or silver) to allow thermal transfer across the full distance of the paste.
Think of it this way> if the cpu's top face was concave (even if only very slightly) ONLY the outer edge of the cpu would touch the heatsink....which might not be enough to efficiently cool the cpu.
