It's because the detrimental effect (headwind) is experienced for longer than the beneficial effect of the tailwind. As soon as a wind gets involved, you need more fuel than you would in still air.
Example: Every day, you fly a Bell 206 from Rainbow Lake (where there is no rainbow and no lake!) in N Alberta to Shekhili compressor station, at which there is no fuel. The distance is 50 nm each way and cruise speed 100 kts. Fuel consumption is 29 US gals per hour. On a nil-wind day, therefore, it should be half an hour each way but, with 20-knot tailwinds outbound, you get there in only 25 minutes. The journey back, on the other hand, takes 37.5 minutes, which is 62.5 minutes total. This may not sound much, but with 60-knot winds, you would be flying for 35 minutes longer than expected, and the figures get worse with longer stage lengths, etc. so watch that fuel load! The PNR will always tend towards the departure point, meaning that distance to PNR is greatest with zero wind, and reduces in windy conditions, regardless of direction.
Phil