Why does Intel® Core™ Processors Enable the Throttling While Gaming?

When gaming the throttling feature gets enabled, how does throttling works?

Processors have two modes of thermal protection, throttling and automatic shutdown. When a core exceeds the set throttle temperature, it will start to reduce power to bring the temperature back below that point. The throttle temperature can vary by processor and BIOS settings. If the conditions are such that throttling is unable to keep the temperature down, such as a thermal solution failure or incorrect assembly, the processor will automatically shut down to prevent permanent damage.  

For more information access the Frequently Asked Questions About Temperature for Intel® Processors.
Learn more about Dynamic Frequency Scaling (CPU throttling) according to Wikipedia