Correlation is usually accidental.
Speaking (very) roughly, the fact that they are autoregressive constrains how 'kinky' the shapes can be. Visually speaking, the time series will have a small number of inflection points and will appear interpolated between these points.
This greatly reduces the search space: you just need to line up a couple of kinks in a space of ten samples, or match two smooth and vaguely line-shaped objects, rather than find a convincing relationship for 100s of observations not tied together in time.
[1] http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.611...
minutephysics Correlation CAN Imply Causation! | Statistics Misconceptions