Because the gas molecules move faster.
Kinetic energy (K.E.) is the energy of motion. It is proportional to the square of a gas molecule's velocity.
Now gas velocity is related to the gas constant and the molar mass, M:
So as temperature, T, goes up, velocity goes up. According to the first equation, as velocity goes up, K.E. goes up.
They are the same thing.
In many fields of study the definition of temperature of an object is the absolute kinetic energy of the molecules of that object.