The official reason is that your credit score, in part, is based upon having a mix of different types of open credit—revolving, like credit cards; and installment, like auto and mortgage loans. If you close your last installment loan, this affects the "mix" in a way that drops your score.
And that leads us to the second reason: the credit bureaus have a financial interest in depressing your credit score, because they sell valuable marketing data about high-risk borrowers to subprime lenders.
The more high-risk files there are, the more money they make from subprime lenders. Low-risk borrowers just aren't as profitable.
So what does this mean? Never confuse your credit score for anything other than its true purpose—a way for the credit industry to see how much money they can make off you.