Here's why:
* Icarus was a young man who, with his father Daedalus, built wings of feathers and wax to escape Crete.
* Daedalus warned Icarus not to fly too close to the sun, as the wax would melt.
* Icarus, overcome with pride and ambition, disregarded his father's warning, flew too close to the sun, the wax melted, and he fell to his death.
This phrase is often used as a metaphor for hubris (excessive pride) and the dangers of overreaching one's limits.