Because you haven't set up Hammer correctly to work with Steam. A work-around
is to NOT auto-start the game after compile, instead just manually start up the game after compile and load your map.
There are ways to make Hammer autostart the game correctly with Steam:
1. "File"--->"Run"(F9)
2. Press on the "Expert"-button to enter the expert compiling mode.
3. Select "$game_exe" in the list, then add into the "Parameters"-box:
-applaunch 10 +map $file4. Press the "Go!"-button.
(This would automatically start up CS 1.6 with your map, if you want other game you need to change the number after "applaunch", Half-life is 70 i think, a list can be found here:
http://developer.valvesoftware.com/wiki/Steam_Applaunch_IDs)