Because until a modern OS that knows to idle the CPU is booted, the CPU is running hot (I explained why at that question). If the motherboard and BIOS support fan-speed–regulation, then once the POST has completed and the BIOS starts its work, it will lower the speed if needed; otherwise, the fan remains at high speed.
If you connect your system to a power-meter like the Kill-a-Watt, you can observe this numerically as the system will draw significantly more power while in the BIOS editor or DOS, paused POST, or even the OS boot-menu. However, when a power-aware OS loads, the power usage drops (in fact, even running
idle.com in DOS will drop it to the same amount). The specific difference will vary, but 30-50W is not uncommon.
Another way you can see this in action is with a virtual machine. If you pause the VM at the POST or enter the BIOS configuration tool, you will see the CPU load on the host being high (100% on a single-core processor, 50% on a dual-core/threaded, etc.) If you boot into DOS in the VM, the host’s CPU load remains high until you execute
idle.com, at which point, it drops to ~0%. It also drops when you boot the guest into Windows or other modern OS.