Mostly because projection is really soft, the lenses aren’t particularly sharp, the screens are ‘rough’ and the image is ‘flashed’ multiple times due to the shutter and the film moves slightly with each ‘flash’, our brain does a bit of temporal processing on that - the grain is much more prominent in the screening rooms at work with really sharp optics, a smaller smooth screen and a film projector without much slop in the mechanism.
I’ve even noticed the difference directly between a DCP and a projected print shown in the same cinema on the same day. I think you’re right about the lens, it just looks different when projected onto a screen compared with being captured by a scanning lens. Anyway, you know how this stuff looks projected, I was pointing it out mostly for the benefit of other members who haven’t seen a 35mm print projected for 5 or 6 years or longer now!
To view on a TV is a much different thing, so I believe for a home theatre release, you do need to reduce the grain slightly, to get the same effect as viewing film in a commercial cinema.
That’s especially true for digital films like Disney CAPS films (BATB, Aladdin, Lion King), 3D features like Toy Story, Finding Nemo, and anything shot digitally with even less grain as they come from a digital-out (bypassing some of the film-to-film copying process). It is actually amazing they were able to duplicate film multiple times from the camera negative to release prints and still have them look sharp and detailed.