It's mostly about the starch retrograding. Out of the oven it is fully gelated so it is sticky and holds lots of moisture. As it cools it will harden, making the bread less doughy and more chewy and firm. Ever tried cutting bread right of the oven? It often sticks to the knife, and if pressed too firmly may compress and stick together (i.e. mess the crumb). You can also see it with rice. Right off the heat it is sticky-gummy, then as it cools a little the grains become more solid.
Generally, it's best to let baked goods come to room temperature, or at least close to it. You can then reheat them to recrisp the crust and/or warm and them up. The starch won't fully gelate again, so it won't become sticky. You actually can cut the bread while it's hot, it might stick to the knife a bit, but it will be able too cool faster. I haven't noticed much difference in end result.
High hydration goods are more sticky while hot. That's why pizzas can be eaten hot - the crust is thin so it dries while baking. You may notice that the part under the sauce often feels doughy even though it's fully cooked. That's because it stays mositer and hotter than the crust, so it doesn't get to retrograde.
