This is called the HTTP/404 verification or pre-processing . It is necessary when a page first.html references second.html and the latter references third.html - removing second.html and third.html will mean that the link to third.html is broken and the page will never be removed from the index since it cannot be reached any more.
You can skip pre-processing by specifying -no404 on the command line. This option is advised if you know that no site sections, but at most individual pages have been removed. It is sometimes faster to delete the index and to make a clean new index, than to reindex the site.
The pages are not entirely retrieved during the pre-processing step, only a HEAD request is issued.