Because we are part and parcel of Kṛṣṇa, or Kṛṣṇa's son, directly. If the son is in difficulty, the father suffers also. Although father directly has no suffering... Suppose a son has become mad, or nowadays hippy. The father is very sorry that "My son is not living like a gentleman. He is living like a," what is called, "wretch." So father is not happy. Similarly, we conditioned souls in this material world, we are suffering so much, living like wretches and rascals. So Kṛṣṇa is not happy. Therefore He comes personally to teach us, yadā yadā hi dharmasya glānir bhavati, tadātmānaṁ sṛjāmy aham (BG 4.7).