...because your shorting out the antennas!! Good design Apple!! For those of you who don't know, with the iPhone 4 the antennas are the silver band around the unit. That's right, the antennas are outside of the phone this time and there are multiple of them seperated by a seam. The antenna on the bottom is your WiFi/Bluetooth antenna, and I believe up the left side is the cellular network antenna. Touch them both at the same time and you short the antennas out thus loosing signal strength.
So by just holding your new iPhone you can easily loose signal. Try it for yourself and see. Hold one finger where one of those seams are so your finger is over the top of it and touching both antennas at the same time. This has been a reported problem to Apple. My sister was one of the lucky ones who pre ordered and got her new iPhone 4 a day early via FedEx. She told me she was disappointed in low signal and how it looses signal. I told her of the problem. Today I visited her and checked out the phone for myself, and sure enough, if you hold the phone the wrong way, you'll loose signal.
This is a hardware design flaw people. I've heard it can be resolved by putting a case on your phone so your not touching the antennas. Good solution for probably a large amount of people who will probably buy a case anyway. But for those who don't want too....
I've seen on several forum boards people complaining of the new iPhone 4 and it's low signal strength compared to the 3G and 3GS, I think this design flaw greatly contributes to the problem.
Just FYI to those of you who haven't heard. But you don't have to take my word for it, do some searching around the internet yourself.