While there may be more complicated answers to this question, lets look at it using some common sense. You are distilling a chemical for the purpose of purifying it I would assume. Purification implies separation of what you want from what you don't want. As efficient or effective as any purification method is, there will always be some product lost during the process. So not only are you hopefully removing some impurities by distilling your product, but there are also losses associated with the distillation itself. The hopeful result is a pure product, albeit less of it.