Mainly because carbon (soot) from incomplete combustion sticks to them.
When hydrocarbons burn, you often see both blue and yellow parts to the flame.
(From Point & Click Appliance Repair)
The yellow areas are caused by the glow of fine soot particles that have not yet been oxidized.
If the yellow flames hit the bottom of the vessel, the soot particles will stick there.
Even the smoothest metal surface is rough at the atomic level, and there are also small nicks and scratches.
The soot particles stick tightly to these imperfections, and they are difficult to remove.
You can remove much of the black with vigorous scrubbing, but you may not be able to remove all of it.
The best you can do is to make sure that the yellow flame does not touch the bottom of the vessel at all.