Because an outlier in any single dimension will put the point outside the "center" of the distribution, and as the number of dimensions increases there's more of a chance of that happening.
Say you have an N-dimensional gaussian where each dimension has mean 0 and standard deviation 1. Define the center as the N-dimensional cube whose edges go from -3 to +3 in each dimension. A normally distributed value is within 3 standard deviations of the mean with probability 0.9973, so the probability that an N-dimensional point being in the center is 0.9973^N. With N=4 that's 0.989 which matches your intuition, but at N=1000 it's 0.067 and at N=10000 it's 1.81e-12.
Say you have an N-dimensional gaussian where each dimension has mean 0 and standard deviation 1. Define the center as the N-dimensional cube whose edges go from -3 to +3 in each dimension. A normally distributed value is within 3 standard deviations of the mean with probability 0.9973, so the probability that an N-dimensional point being in the center is 0.9973^N. With N=4 that's 0.989 which matches your intuition, but at N=1000 it's 0.067 and at N=10000 it's 1.81e-12.