Because you're paying for either a special distro, or a CD that was burned for someone that you can buy, and the proceeds (normally) go back to help the devel team.
It's like free beer---if you have your own mug (internet connection, CDs, etc.), you can get the free beer (Linux), but if you have to buy a mug (computer, CD, whatever) and then get the beer, it's not free anymore.