For the same reason you can hear the strings resonate when you strung an unplugged electric guitar.

A record player isn't that complex. It works like this. 

Your record has many tiny grooves. These grooves have bumps in them for the needle to pick up. The needle vibrates at a certain frequency, dictated by the width, heights, etc of the bump in the groove. In total, the needle is a miny mic for your record. It vibrates, and that vibration is turned into an electrical signal. It is then sent to your amp and to your speaker. 

So, you're really hearing the needle vibrating on the groove. Hope I helped :)