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Ive always wondered that...
My guess IF you're talking about a forced-air system (warm air pumped through pipes under floors or inside walls, which exits into the room via a duct in either the wall or floor) is that the system needs time to shut whatever is burning to produce the heat off, and cycle the remaining warm air through the system (throughout the house) before shutting it off. I don't know if this is for sure, this is just a guess based on what I've noticed in my house.
its because it has a time delay. to keep from overloading and causing power spikes...