Because they're literally MITM-as-a-service. I wish I was exaggerating.
Seriously. If a website uses Cloudflare, Cloudflare can see everything you do on that website. Stuff you say. What pages you go to and what you're looking at. Any passwords you type in. Everything.
(And your browser doesn't warn you about that because Cloudflare has a legit cert for the site; as far as your browser is concerned they ARE the site.)
-- Frost