Cause they have a microphone. And you don't.
Takes a bit to get into this one, but here, Canadian comedian Darren Frost gives a heckler an earful after he gets all personal about HOW Frost battled his cancer. Frost takes a while to get really angry and go on a classic comedian "my comedy can't always mask the mental health issues" expletive rant, but gathers himself to make some pretty valid points. Maybe it's because I recently watched that Jamie Kennedy documentary about heckling on Netflix instant, but this is always a fascinating dynamic--people coming to comedy shows and questioning not necessarily the material, but the livelihood of the performers. If you must heckle, do it in the YouTube comments or some shit.