Games in particular rely on a hardware overlay to do their drawing when in fullscreen mode. This method has a speed advantage because the game can bypass Windows completely and write frames directly to the graphics output buffer.
When a game is in windowed mode, the operating system has control of the output buffer, so the game must render frames by going through the operating system's window manager. This process is slower because the output buffer must be shared with all the other windows on the screen.
Only one output buffer can be visible on the screen at a time, so if your game has control of it, it must be minimized in order to switch back to Windows' output buffer.
The only solution would be to run your game in windowed mode (if that's an option) and have it maximized on one screen. But depending on the game, that'll cost you a few FPS.