The reason is that the quantum state is supposed to be a complete representation of the system right now. It doesn't quantify our ignorance, it should actually correspond completely to the physical state of the system (check the PBR theorem for a strong justification of this)
Therefore, according to Copenhagen, the state really is collapsed for the other system upon measurement of the first. There is spooky action at a distance, because the entangled state does not encode our lack of information or ignorance, it encodes an actual physical thing.
The most common example is two entangled spin systems A and B in an initial state:
|psi> = 1/sqrt(2) (|upA upB> + |downA downB>)
if you then measure the spin of A and find it to be |upA>, you then know system B is in |upB>
BUT it wasn't |upB> all along, because |psi> before measurement is the complete physical state of the quantum system. |psi> is not an epistemological construct, it is an ontological one. It does not correspond to our lack of knowledge of the system, but the actual physical system.