For instance, think about all the skills that a basketball player has to execute in parallel: they have to run around, dribble the basketball, and think about strategic plays, all at the same time. If they had to consciously think about the mechanics of running and dribbling, they would not be able to do both at the same time, and they would not have enough brainspace to think about strategy.
(This comment is basically the intro to a detailed article I wrote on the topic with plenty of scientific citations: https://www.justinmath.com/cognitive-science-of-learning-dev...)