I sense you want a very basic answer to your question.
Though the contacting surfaces of the heatsink and processor are made as flat as possible, there will nevertheless be imperfections. when you lock the heatsink over the processor, these imperfections turn into pockets holding air. Since air is a poorer conductor of heat than the copper surfaces,
1. You reduce the total amount of heat transferred from the processor to the heat sink.
2. You create spots of heat and cold which is bad.
So, u need some filler conducting material. The best material to use is, ofcourse, liquid copper/aluminium. But because of the slight impracticablity involved in the handling of liquid metals, we use special heat conducting pastes called thermal pastes.