Because PHP doesn't have connection pools and needs to create new connections for every request.
Quotes from companies that use it:
The deployment of twemproxy was a great success. We eliminated all timeout and connection errors that were left (without buying new hardware).
Learn Redis the hard way blog post
With Twemproxy we haven’t seen any timeouts
Moving millions of user sessions from MySQL to Redis
Unfortunately, our options for connection pooling and more efficient use of connections were limited in PHP, so we had little recourse than to suffer with a high connection load and fluctuating connections against our Memcached servers
Optimizing caching Twemproxy and memcached at Flickr
Working example Wikipedia