Penn Station is the most trafficked train station in North America[0], which I would imagine would lead to more subway entrances/exits, especially during rush hours.
Also, Penn Station has the A,C,E, 1, 2, and 3. Grand Central only has the 4/5/6[1]. The 4/5/6 are the only lines on the east side and are therefore fairly busy, but I find this surprising nonetheless.
[0] This includes non-subway trains, [1] Don't even get me started about the T (ie, the Second Ave. Line)! :)