Why does my hair always get greasy?

Skin oil. Each hair follicle has oil glands that secrete sebum which gets onto the hair. Sebum is a rather oily/greasy substance and is the cause. Also, if you don't shampoo regularly enough this oil along with simple dirt and debris from the day can collect on the hair and make it feel oily/greasy.
Oil glands. Some people have more active oil glands amd would benefit from shampoo for oily hair.