You have a query like:

select * from book where author_id = 5

If you represent your data as objects, you'll create a Book class with an attribute of type Author. If you now want to run the query above, you'd say (in c# likelihood, but not a real Entity query):

Database.Set<Book>().filter(author.id = 5).all()

But that instructs the ORM to fetch the author attribute from all books, and only then filter it by id. So, you will end up running the following query:

select * from book join author on book.author_id = author.id where author.id = 5

There is no reasonable way to represent the difference between this query and the one on top with an object representation. And even though both have exactly the same semantics, databases have been historically bad at optimizing them so the second one can be orders of magnitude slower.