Why is that?

CBT may work better than placebo (although the state of the research on this is controversial, see section four here,) but that doesn't mean that people suffering distress from some life circumstance always, or even usually, are evaluating those circumstances irrationally. Placebo therapy is pretty effective, a great deal of the effectiveness of CBT is likely due to the same qualities which make placebo therapy useful.

Having engaged in CBT, I felt that it was a worthwhile experience, but the benefits in my case had far more to do with being able to discuss the matters I was concerned with openly and in depth with another person, because I'm better at resolving problems when I feel accountable to someone other than only myself, rather than addressing particular irrationalities in my outlook (to the extent that my tendency to be less able to resolve problems without being accountable to other people is an irrationality, it's not one that CBT has been able to address.)