"Everyone who boards an aircraft at Heathrow has to be security screened to UK government standards. Even if you've already been through security checks at another airport, we're obliged to screen you again before you fly from Heathrow."
http://www.heathrowairport.com/heathrow-airport-guide/flight...
I guess when faced with the choice of taking a risk-based approach toward security, and applying an equal amount of security to all, they chose the latter.
At least the UK lets you check through your bags, unlike the US.
When I change at modern airports, usually in Europe, I very rarely have to go out and back in again. In Geneva[1], the layout of the airport was essentially reconfigured around me to let me walk from one plane to the next. I was the only person doing it; I walked through empty glass-walled corridors, watching through the glass as other passengers went their various ways, guided by wall displays pointing me towards the next flight (no other flights on it; just mine) and at one point I got to a train platform cut in half by a glass wall. The other side was a hundred or so people, and when the train came, I was in one half, and they were in the other. We were likewise segregated at the destination platform. I walked all the way to the departure lounge before I reached a person, whose job was to let me in and not let anyone in the lounge leave through my private entrance. It was basically how you'd expect a modern airport to work; to know who on each flight needed to leave and who needed to be guided to another flight, and for the displays and corridors to provide it.
[1] I think it was Geneva.