Mainly because in high-dimensional space saddle points are much more common and many local minima have very close fitness. Look for example <a href="http:&#x2F;&#x2F;arxiv.org&#x2F;abs&#x2F;1405.4604" rel="nofollow">http:&#x2F;&#x2F;arxiv.org&#x2F;abs&#x2F;1405.4604</a> and following papers.