Someone mentioned that you can tune the transceivers to the individual cable, and that's a big part of it. Another thing is that discontinuities in the physical layer are a big deal at these speeds (think connector). It's easier to deal with that 'inside' the plug just a short distance from the discontinuity and then have a much more reliable and predictable link between the two transceivers in the cable. Especially if the transceivers are bumping up the power significantly (I don't know if these ones are), because the discontinuities cause reflections and transmitters will be damaged if the signal reflected back at their output is too high powered. The reflections can now happen at the plug/jack interface, where it doesn't need to be so high powered because the signal will not need to travel as far.

Having active cables also leaves the door open to optical Thunderbolt cabling in the future, without the need for new hardware.

Basically, the cable is tuned to its specific length. It also reduces cost for people who never use Thunderbolt.

You can use thinner copper and make longer extensions, because active cabling help compensate for attenuation and crosstalk. Really you can put any kind of DSP you want in there: skew, equalization, etc. DisplayPort is only spec'd for 3 meters over a passive cable, but goes up to 33 meters over an active cable. Also, although I can't remember a source, the Thunderbolt over copper uses about 25% of the power compared to the original optical version.