There are a few reasons for this.
1. Distant server: This is the first and most obvious one. You're not connecting through the server closest to your actual location, but you're connecting through a distant server which will impact speeds since there's a longer route to connect to the distant server.
2. Geographic location - The physical distance between your current location, our servers that are spread out in different locations around the world, and the location you are getting content from (the website's server your connecting to) can also impact the speeds you're receiving.
3. Your ISP - Some ISPs throttle (slow) encrypted communications. This is unfortunately becoming more common nowadays.
4. WiFi connectivity - VPN is somewhat more susceptible to poor WiFi connections.