There can be a number of different reasons but the most common reason is probably that they haven't developed the self soothing skills to fall asleep on their own. When babies are born their default setting is to feed every 2-3 hours and to sleep for much of the time in between. As a result of this they frequently fall asleep whilst being held and/or fed and they can often readily become dependent on these same conditions in order to fall asleep. Then when they're put down to sleep before having fallen asleep already (whilst being fed or held) they find it difficult to do so and start to cry whereupon they are often either held or fed again until they drift off and are then put down to sleep thus a pattern that can prove difficult (both for child & parents) to break is established and the baby fails to develop their own self soothing skills to be able to fall asleep on their own.
This is quite a common scenario for many babies and there are very effective & simple (but not necessarily easy) strategies to remedy this although most resolve this without help eventually. Maybe i'll write a hub on sleeping strategies for babies and young children that have yet to develop these skills.