Calories derived from fat vs protein vs carbohydrates have different inefficiencies in converting them from their theoretical caloric value to their useful work in the body.
Fat is the most efficient with a loss of just @ 2-3%, carbs are at 6-8%, protein 25-30%. [edit Most of] this loss is in the form of heat.
It was not mentioned why this excess heat would not simply be offset by the body avoiding the normal processes it takes to maintain body temperature. Presumably the body generates enough heat as a by-product at room temperature and thus there is nothing the body can back off of to make use of the waste heat described above.