Why does Steam have lower prices than GOG? Same reason large retail chains can offer lower prices than privately owned corner stores: sales volume.
It's not really an all or nothing proposition though. Different retailers will have different prices on different products. Some will be cheaper at store A than B or C, and some will be more expensive. I highly doubt that GOG, Steam, Desura, or any other retailer has realtime monitoring of each other's prices and automatically sets their price to undercut the others on every single game. That would simply result in the others doing the same and the prices of all games continuously dropping until there was no profit margin and they boot all games out of the catalogues. :)
Finding one game on Steam cheaper than on GOG isn't a big deal, it's one game. Now go look at 200 GOG games that are cheaper than Steam and are DRM free, still supported and work on all modern versions of Windows.
It's not always about being the cheapest price though, all game sites have their own strengths and weaknesses, pros and cons. DRM-free and lots of bonus materials are one of GOG's biggest strengths. :)
Another thing too, is that a particular game might sell better on GOG than on Steam, or vice versa. Each retailer sets their prices based on their own statistics. It's like going to 2 different branches of the same grocery store in the same city and finding a totally different price on many things. They set the prices on what the customer behaviour is at the particular store/neighborhood/etc. and what they feel will bring them the best ROI they're looking for.