The reason (and I'm no medical expert) is that it acts as a gradual cool-down period after the hard exercise. During any exercise it is good to cool-down by still moving and exerting less effort. Keeping the muscles moving helps remove lactic acid from the muscles (which contributes to cramping) and keeps the blood flowing. Also sudden changes between hard pedaling and stopping can make your blood pressure change more quickly. It is better to make gradual transitions.
Basically, for all the same reasons that you should cool down for a few minutes after any strenuous exercise. In intervals, you are just doing it over and over. <