Presumably because it charges using electromagnetic induction (the same way my electric toothbrush charges) rather than a direct electrical connection. This would mean the circuitry generating the electromagnetic fields would need to remain active (and therefore draining the battery) when the tablet is powered down.
You could therefore wake up to a tablet with a fully charged S Pen but with no charge in the tablets own battery. I'm just assuming because my own tablet has no S Pen but if there are no electrical contacts on your S Pen, I think its safe to go with what I wrote.
