Because the way you think and your mental convinctions deeply affect the way you are and act. By adjusting your thoughts, you improve your actions.
This is what Coaching is all about:
A mental attitude aiming at knowing your inner self (Socrates - “Know Thyself”), getting in touch with and expressing who you really are.
Coaching will get people to learn who they really are and be such (Pindar - “Become what you are”).
Coaching is not psychotherapy. Coaching investigates in and works on you here and now, focusing on your goals and dreams, and the ways to make them come true, through the most appropriate solutions for you to manage and overcome any possible obstacle, be it real or imaginary.