It is faster is a mechanical disk only is executing a single copy at the same time because that most likely results in sequential access to that drive.
Copying from disk 1 to disk 2 means that the heads on disk 1 are over a specific place of the disk, reading the data to be copied. The heads of drive 2 are over a empty place of drive 2, sequentially writing data. (assuming no fragmentation of free space on drive 2).
The copy should proceed at the lowest common dominator of drive 1's read speed and drive 2's write speed.
The same is true with the reverse copy (just swap drive 1 and drive 2)
Now when you try to do both ate the same time then the head on both drives will have to move between the place where they can read the data to be copied, and the empty place on disk where they can write the data. While they are moving no data can be read or written. Thus disk performance is lower.
Note: this holds explicitly for two drives. Two volumes behave differently.