I think a lot of this comes from a feeling that the person needs to be smarter than the performer. I think it partially comes from a thought that the magician is messing with the audience so it's okay for the audience to mess with the magician. When you call the magician out in front of everyone, you're proving to everyone that you were smart enough to see through the illusion. When you announce your theories on how something was accomplished (even if they are incorrect), you're showing of that you've grown out of that phase where magic impresses you (I mean, magic is just kid's stuff after all!).
However, even if every magician altered their scripts to get rid of this attitude, puzzlers would still exist. While magicians appear to do the impossible, the truth is there is an answer and there are always going to be people who seek it out. Most time it's fine. Hearing people shout that they want you to repeat an effect can be a great compliment. But most of those people drop it when the performer moves on.
As frustrating as these people are to me, I know that they aren't going anywhere and that I just need to learn how to deal with them better. I need to make sure as an entertainer that I entertain everyone and puzzlers are always going to be part of the group. I just need to work on getting my magic past the point where it's a trick.