There are two main factors contributing to this:

1. Cheats in video games often need to use techniques commonly used by malware and as such are often flagged as malware. This can be things like injecting data into other processes or reading the memory of other processes. Also the cheats often have ways of avoiding detection by the game's actual anti-cheat system, which again looks very much like malware trying to hide from an antivirus.

2. Public video game cheat sites are a great attack vector for anyone wanting to push out actual malware. But the same can be said of any site designed to share software that is generally considered illegal or unethical - public torrent and other piracy sites have the same problem.