The paste dries up a little bit and thus you can not get a smooth surface on the heatsink.
The purpose of paste is because the cpu and the heatsink (or any solid surface really) is not perfectly smooth. The paste allows you to fill in these micro imperfections on both surfaces (kind of like waxing a car). Without this, the cpu would be different temperatures all over the chip and would cause poor heat transfer.
Since the paste dries a little, if you put the heatsink back on it would not be in the same perfect spot and would have poor heat transfer and likely overheat your cpu.