The simple student explanation: The blades of a propeller interact with each other, in a manner which decreases efficiency. If you think of the blades as wings, each blade will be operating in the downwash and disturbed wake from the preceding blades. More blades mean more interaction means less efficient.
An analogy is double/tripledecker designs vs. monoplanes.
Model aircraft pylon racers have an interesting approach to this. They use one-bladed propellers, balanced with a counterweight.