Maybe because they finally feel 'normal' once they are fully dressed as a female.
The analogy I once gave, was this: Imagine you are at a formal gathering, everyone else is wearing a tux or an evening gown. But you, you're in a bathing suit. Doesn't matter if it's a men's or woman's bathing suit, you're going to feel like you're in the wrong clothes. That's how I feel when I'm wearing men's attire; always just a little uncomfortable, as if I'm wearing something I'm not supposed to wear, and there's this subtle urgency to take them off, and put on what I feel is normal for me to wear. And so, yet, when I wear girl clothes, I feel normal. I never feel uncomfortable when dressed as a girl does. Never. So, in the average person's mind, what other conclusion do they come up with?
We can't always understand how others feel. It's their mind, their body, their life. It's different from our own. Just accept what they tell you, that they feel the way they do.
Live and let live.
Edit. Maybe this will help. https://www.youtube.com/watch?v=YRjhts_p1H8