The reason is that for deleting an object, Hibernate requires that the object is in persistent state. Thus, Hibernate first fetches the object (SELECT) and then removes it (DELETE).
Why Hibernate needs to fetch the object first? The reason is that Hibernate interceptors might be enabled (http://docs.jboss.org/hibernate/orm/3.3/reference/en/html/events.html), and the object must be passed through these interceptors to complete its lifecycle. If rows are delete directly in the database, the interceptor won't run.
On the other hand, it's possible to delete entities in one single SQL DELETE statement using bulk operations:
Query q = session.createQuery("delete Entity where id = X");
q.executeUpdate();