When you place an expansion bolt, the wedge/cone is forced into the bolt somewhat by the sides of the hole, but the back of the hole also has an effect. A bolt that has dead space behind doesn't have the wedge forced as tightly into the sleeve and hence is weaker.
Put another way - if the bolt, like matt suggests, can be tapped deeper into the hole by hammer blows - it can also be pulled OUT by the same forces. If the bolt is snug against the back wall of the ole and can't be tapped further in, it also has the wedge deeper into the sleeve and is more solid as a result.