My very scientific answer is......because you broke it.
Why is breakage your fault?
With the exception of medical conditions, hair is NOT inherently fragile. It can take quite a lot of force (see this post). In truth the things that you do to your hair affect its ability to withstand the force and cause it to break.
1. Force During CombingCombing is the top reason for hair breakage as using a comb can cause hair to tangle (J Soc Cosmet Chem, pp 21-43, 1984). Tangling causes more force to be applied to the comb which causes the hair to snap. The solution that many of us employ is combing when hair is wet and has conditioner on it. However this is a double edged sword as although the hair is easier to comb it is also weaker than when dry. Hair must be treated much more gently whenever it is wet.
2. Not taking Care of Your Hair CuticleYour hair cuticle is the first line of defence. It is NOT responsible for the strength of your hair but it is a shield for the cortex which is responsible for strength (J Soc Cosmet Chem, pp 59 -67, 1991).It can be damaged by several processes including combing, flat ironing and stretching. The less cuticle you have the more likely you are to get split ends(J Soc Cosmet Chem, pg 155-75, 1978.)
3. Stretching Hair
Stuff that isn't your faultIf your hair has a large number of kinks (mine does), the kink represents an area of weakness. This is as opposed to hair that is curly but not kinky. This does not mean you get a pass though. If your goal is to gain length then you must be even more gentle to preserve the hair.
Update 16-10-2010 : As reader LBell pointed out some breakage is normal even if you are supremely gentle with your hair. The aim is not to totally eliminate breakage but rather to keep it to an absolute minimum.
What to do and look out for
1. Pain when combing.
2. Tiny little curls (usually less than quarter of an inch).
3. Snapping noise.
4. Don't comb through tangles.
5. Minimise handling of hair (i.e comb it only to detangle, stop playing with it after styling).
6. When stretching hair, watch out for it actually becoming straight. Keep some curl in it.
The correct question to ask is 'What did I do to break my hair?'