My uneducated guess is that therapy's effective mechanism is related to the placebo effect. There is a line of thought that the placebo mechanism may be related to reduction in stress, because something else will take care of the problem.

If I go to a therapist, and they put time in to help me get better, my stress response decreases, and I feel better.

Completely made up, in case that wasn't obvious. But that's my guess.