Because if you are taking a real hot bath, or a hot tub/jacuzzi, you are raising your internal temperature which can cause either brain damage to your baby, other health complications, or in worst case scenario, a miscarriage.
i did and had no problems. people say that for many reasons water can get into the vagina, you can get and infection and mostly it is all wives tell. warter cant get into the vagina because of your mucus plug. you can get an infection if you sit in dirty water and use bubble bath stuff. so take those baths they work wonders. just make sure it is not too hot and dont stay in too long. if i hadn't taken a bath for my sore back iwould have gone insane. good luck