Reason should be some kind of benefit. But honestly, I dont know, here are just some facts.
You need to see the connection of systems. Neuromuscular connection of basal ganglia: central part of brain - neural pathway - muscle - and then feeling of movement going back to the brain through hypothalamus and to other areas - from hypothalamus it goes to brain like a shotgun fire.
The more you do the same movement the more you fire up the same lines. In order to get faster and more effective movement you add additional channels for signal transport in neuronal connections {this happens through release of BDNF, which induces insertion of new channels, for faster transmission}. This molecule happen to influence formation of memory, survival of neurons and supress your desire to eat.
There has been an article from 1998 about reduced cathepsin, which happens to reduce this BDNF. (http://www.ncbi.nlm.nih.gov/pubmed/9514826)
Sooo, again, I dont know, but this seems a bit like a side effect of firing up those circuits, because more or less the same way works memory formation (long-term memory potentiation). I would guess here plays a role effect of neigborhood - niche influencing neurons sitting next to those active pathways.
BTW.
Also movement should increase your bloodflow, waste created by neurons is now removed much faster, this should go the same for neurotrasmitters - molecules transmitting signal which just flow around and act as signal interference, thus removing part of interference and now you can fire clear signal.