The reason is that the Reader isn't really off when it's "off" but rather in a sleep/suspend mode. Everything's cranked way down, but it still uses power, so it eventually drains the battery.
If you know ahead of time you're not going to be using it for a while, you can prevent most of that drainage by resetting it (the pinhole on the back) or if you have a 505, you can use the "full off" option in the utilities menu.
That's the short answer, if you want the long one it's posted around here in a number of places.
