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The "why" is because it's a game. If you're a Golden Retriever, the moment where you hand the ball back is one of the hardest personal conflicts you can face. On one hand, you want the glorious moment where the ball is thrown and you chase it. On the other, you have the ball in your mouth, which you're genetically hard-wired to want. So you bring it back and you're faced with this terrible quandary. You try to give it back, but you can't let go.
Then, the human does something exciting, like grabbing or tugging. That's kinda reinforcing. So you end up seeking out that game instead of handing the ball back for another wonderful throw.
It's possible to break the habit without treats. The key is to make sure that keep-away is non-rewarding and that the throw is the only reward available. The throw is a very powerful reward, so it doesn't take too many successful repetitions for it to work.
I recently broke this habit in a dog by sitting indoors with one toy and no other distractions. I threw it and he retrieved it, but every time he tried to start a keep away, I simply put my hands out, palms up, and waited. Eventually, he came over and bumped me with it, and I'd close my hands on it a little. He'd try to start a tug, but I wouldn't hold my end. After 10 or so minutes of this, he finally let go, and I immediately praised him and threw it.
When he came back, he tried to start tug/chase games for about 5 minutes, and then gave it up. I praised and threw.
He came back with it, and only tried to start the games for 10-15 seconds before handing it off. After that, the habit was broken. As long as you didn't grab for the ball or the toy, he didn't play keep away. You just put both hands out and he'd place it in them. I was going to wean him down to one hand, but I didn't have any sessions left with him, so I told his family how to do that part.
The key is to never chase, never tug, and never snatch at it. Let the dog give it up and then immediately praise and throw. It's just like training a "chase me" dog to finish his recalls properly.