Probably because many people believe dreams (I'm not denying this, just don't personally understand how dreams work) have meaning or a reason behind them. I've had x gf's who told me they've had dreams of me cheating and those ones were gfs who actually would think I would cheat on them so maybe there is a connection to the thought and dream. Although I never did cheat on them, that type of feeling from a dream would totally come out against me during the day after.
On the other hand, I can't ever recall having a dream of a gf cheating on me and I've also never really thought any of my past gfs would do so (although I've realized after breaking up with a couple of them, that it was possible it happened).