Basically, when you move around, you get the social minima of the host country when you get a job (or claim benefits - you are allowed to move to another EU country and job search for 3 months if you have lost your job in anothe EU country).
But if you have made contributions above and beyond the minimum in one country (ie pension, private healthcare, unemployment insurance etc) these are not easily transferable and in many cases not transferable at all.
So you can end up with, say, pension contributions in 6 different countries, none of which you can consolidate and will not provide proper cover in old age whereas the same amount in one country could provide a decent pension.