That's because supplements provide (or are supposed to provide) trace elements that you need, but you only need a little bit of it. Like minerals and certain vitamins etc. The thing is - you basically need the same (trace) amount of it, whatever your lifestyle is. And you get it through eating a normal varied diet (e.g. a little meat, vegetables, some fish and seafood when you can, some (unprocessed) grains). So when do you not get enough of it? When you don't eat much food, or not enough of certain kinds of foods. Say, if you are a vegan with a sedentary life style. You're simply not getting enough of the trace elements through the restricted type of food you eat. If you're an athlete and you're also a vegetarian then you don't actually need food supplements at all - you're eating a lot of food due to the energy requirements and you'll get enough of it. Think Roman gladiator - they were vegetarians. No supplements needed.
For some reason a lot of people think that you need supplements if you excercise a lot, while it's in reality the other way around.