<p>It comes down to the nebulous idea of "academic inbreeding." If you've spent four years working with a department, the theory is that it won't do you much good to continue working with them for 4+ more years. You can get more of a benefit getting exposed to different professors, viewpoints, ways of working, etc. by going to another univeristy over more of the same at your undergrad department.</p>
<p>There are exceptions to this, most notably at MIT. "MIT cubed" is not uncommon, where a person gets their Bachelor's, MA, and PhD all at MIT. Happens sometimes at Harvard too. Also, it happened a lot more decades ago than today.</p>