CPUs are discrete devices. They are either on and doing something, or off and doing nothing. From this it follows that even when they are on and idle, they must be doing something. Any CPU time not spent processing useful information such as a game, OS function, input, output, etc... must still be spent doing something even if that something is not inherently useful. You can see this in the Windows Task Manager, look for the process called "System Idle Process", any CPU time not spent in another process will be spent here.
The term for this is "idling" in the same way that a car that is turned on but not moving is also idling. Just as it would be rather silly to put a car in neutral at an intersection and run the engine at 6,000 RPM, it doesn't make sense to have a processor run at 3+ Ghz while doing nothing useful if it can be avoided.
To remedy this, the CPU slows itself down when it is idling so that it consumes less electrical power while idling. As soon as it has some useful work to do, it will speed back up.