A couple of non-exclusive theories from a non-physiologist:
Your body needs to burn less to maintain / manage the fat you are or rather were carrying around.
Your body may be engaged in various processes that it turns down. It's possible, for example, that it may be engaged in various anti-cancer activities that aren't necessary as your body fat decreases (higher body fat is correlated with some cancers, though I don't believe a a direct causal link has been established...but this comment is all speculation anyway). Or the excess calories could signal your body to do other "discretionary" processes that it dispenses with in time of calorie deprivation. It's even possible that such discretionary processes could be statistically bad for you in our current environment, which might be a reason why calorie deprivation may extend lifespan, at least in modern humans.
Your gut could expend less effort to extract certain nutrients or vitamins from your food in a low calorie regime ("bah, opportunistically grabbing that extra Vitamin E is not worth the effort right now").
Just some off the top ideation, not meant to imply that these ideas are necessarily what happens but are ideas why simple thermodynamics is inadequate on its own to explain the phenomenon. The body is more than a simple calorimeter.