I suspect it's because your system needs what's called a common "C" wire, but your probably older thermostat doesn't have a dedicated wire for it. It could potentially be the case that your B wire is acting as your common wire. This is the wire that is used to provide consistent power to your thermostat, so it's quite important it's connected correctly. I'd recommend reading the "How to tell if a B wire is really a common or C wire" section linked below.
Identify a thermostat wire - Google Nest Help
If the B wire isn't acting as a C wire, it's not compatible with Nest thermostats by default. That's not to say it isn't possible for a local HVAC technician to look at rewiring it to make it compatible, but your mileage is going to vary with that.
Assuming your B wire is actually a C wire, the other thing to check is if you have a duel-fuel system i.e., a heat pump for primary heating and cooling, as well as a furnace (usually gas or oil). If that's the case, you are going to need professional installation from a Nest Pro or local HVAC technician.
As long as you don't have a duel-fuel system, and your B wire is actually a C wire, the Nest app will let you setup a Nest Thermostat E with the current wiring you have.
