I guess because thoughts and emotions have a direct affect on the body. Fear makes our pulse rise, adrenalin enters the system, we sweat. I feel sure that longterm stress can make us physically ill. I guess loneliness and sadness are the same. In terms of why- maybe because it's not natural. We are supposed to be social creatures. I made a thread about depression the other day and some members commented that it is a symptom. A pointer that things are wrong in our life.
I suppose the same as a toothache triggers us to go and see the dentist, feeling lonely probably should trigger us to seek out company. Pain in the body is there to trigger us to take action on whatever the problem is.