It's because you're not just downloading the content you want - which may be a small amount of data - but the data-heavy adverts and all the tracking technology that surrounds them. And it's costing mobile users, who are charged for that traffic to their phones, a lot of money.
That, at least, is the allegation in an advert placed in the Financial Times this morning by an Israeli firm called Shine. Under the stark headline: "Fact: mobile ads consume a substantial amount of the data mobile consumers pay for and it's getting worse", it argues that we are all helping to subsidise advertisers.
It goes on to call on the GSMA, the trade association for the mobile industry, to back a move to "zero rate" ads, meaning consumers would not be charged for that data. Shine is a business which is trying to sell ad-blocking software to mobile networks, so it is not a neutral observer.
"We believe that consumers should not be subsidising billion dollar ad tech businesses," Shine's Roi Carthy tells me. "We hope the GSMA and its membership see the importance of protecting consumers and act on the matter swiftly."
The GSMA says that it cannot comment on commercial negotiations involving operators but says it supports "initiatives that provide consumers with more transparency and control over the privacy of their personal data".
Ad-blocking has grown increasingly popular, with plenty of tools now available to improve your browsing experience. A recent survey showed nearly 200 million people were using blockers - that's still a small proportion of the global web audience but 12 million of them are in the UK, which indicates that the British are  particularly hostile to adverts.
Up until now, it has been much harder to block adverts on mobile phones, but this week Apple is expected to release its latest mobile operating system which will allow ad-blocking tools in its Safari browser. That should give a big boost to businesses which will be marketing their ad-blocking services to iPhone users, and even to Shine, which is trying to persuade mobile operators to install its technology at the network level.
This sounds like a great consumer cause - until you remember that the entire business model of many of the web businesses we use most is dependent on advertising. When you check the weather forecast online, watch a music video or chat about recipes on a cookery forum, the chances are that you get those services free in exchange for having those annoying adverts.
No wonder there is something akin to panic in the online advertising industry, especially among businesses which are just getting their mobile ad strategies off the ground. What makes it worse for them is that Facebook, which has made a very successful transition to mobile, won't see its ads blocked because it controls its app platform. That means that everyone else could soon be shutting up shop as their ad revenues evaporate.
But perhaps we should take the warnings of the catastrophic impact of ad-blocking with a pinch of salt. The advertising industry is nothing if not ingenious and will come up with new ways of reaching consumers - ideas like the branded content pioneered on sites like Buzzfeed.
And, if the pain of waiting while another advert loads on the web article you want to read, persuades more of us to resort to blockers, the advertising industry will learn a valuable lesson. After all, annoying your customers so much that they want you out of their lives does not sound like a great marketing strategy.

Roger Federer beat Tomas Berdych 6-4 6-2.
But it was a slow start for the Swiss star who lost the first two games.
But it only took him 69 minutes to win his match.
World number one Novak Djokovic beat Japan's Kei Nishikori 6-1 6-1.
Federer and Djokovic will play one another on Tuesday.
Great Britain's Andy Murray gets his tournament underway on Monday afternoon when he plays David Ferrer.
Ever wondered why it takes an age for some web pages to load on your mobile phone, even when you have a good signal?
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Roger Federer and Novak Djokovic have won in straight sets at the opening day of the ATP tennis finals in London.