Because it suppport the disconnected architecture :)

Data Reader worked as conventional Record Set of VB
and
Data Reader worked in connected mode only

Because it supported dissconnected architecture

because it satisfy read only property from which we can only
retrieve data only(forword) not write to int(backword).

DataReaader is connected object and one can process the 
rows that are returned by query, one at a time. It discards 
every row after you have gone through it and so it is 
extremely fast.It contains only read-only data, so no 
updates are allowed using DataReader
objects.

datareader execute data from table one by one at each
calling of it.and to fetch next value from database it
contains pointer value(index) of next value . thats why if
is forward only. in the oops concept it works on the concept
of one-way linklist

A DataReader is a stream of data that is returned from a 
database query. When the query is executed, the first row 
is returned to the DataReader via the stream. The stream 
then remains connected to the database, poised to retrieve 
the next record. The DataReader reads one row at a time 
from the database and can only move forward, one record at 
a time. As the DataReader reads the rows from the database, 
the values of the columns in each row can be read and 
evaluated, but they cannot be edited.

As we know that DataReader is connected architecture it 
cannot persists the contents. it reads the contents one by 
one record from the dataset until all the records completed.

 The main thing is data reader uses pointers to fetch the 
next record(index).hence these are the forward only objects

Because it supports connected architecture.