You can find an explanation in the PermissionsSQL Server documentation section , which states that:
Since malicious users sometimes try to elevate their privileges by using xp_cmdshell, xp_cmdshell is disabled by default.
A more detailed explanation can be found in the SQL Server Security blog . A short excerpt from the blog says:
xp_cmdshell , , , , , , / - , . Xp_cmdshell , , .