Because you need the w coordinate for perspective calculation. After you output from the vertex shader than DirectX performs a perspective divide by dividing by w.
Essentially if you have 32768, -32768, 32768, 65536 as your output vertex position then after w divide you get 0.5, -0.5, 0.5, 1. At this point the w can be discarded as it is no longer needed. This information is then passed through the viewport matrix which transforms it to usable 2D coordinates.
Edit: If you look at how a matrix multiplication is performed using the projection matrix you can see how the values get placed in the correct places.
Taking the projection matrix specified in D3DXMatrixPerspectiveLH
2*zn/w 0 0 0
0 2*zn/h 0 0
0 0 zf/(zf-zn) 1
0 0 zn*zf/(zn-zf) 0
And applying it to a random x, y, z, 1 (Note for a vertex position w will always be 1) vertex input value you get the following
x' = ((2*zn/w) * x) + (0 * y) + (0 * z) + (0 * w)
y' = (0 * x) + ((2*zn/h) * y) + (0 * z) + (0 * w)
z' = (0 * x) + (0 * y) + ((zf/(zf-zn)) * z) + ((zn*zf/(zn-zf)) * w)
w' = (0 * x) + (0 * y) + (1 * z) + (0 * w)
Instantly you can see that w and z are different. The w coord now just contains the z coordinate passed to the projection matrix. z contains something far more complicated.
So .. assume we have an input position of (2, 1, 5, 1) we have a zn (Z-Near) of 1 and a zf (Z-Far of 10) and a w (width) of 1 and a h (height) of 1.
Passing these values through we get
x' = (((2 * 1)/1) * 2
y' = (((2 * 1)/1) * 1
z' = ((10/(10-1) * 5 + ((10 * 1/(1-10)) * 1)
w' = 5
expanding that we then get
x' = 4
y' = 2
z' = 4.4
w' = 5
We then perform final perspective divide and we get
x'' = 0.8
y'' = 0.4
z'' = 0.88
w'' = 1
And now we have our final coordinate position. This assumes that x and y ranges from -1 to 1 and z ranges from 0 to 1. As you can see the vertex is on-screen.
As a bizarre bonus you can see that if |x'| or |y'| or |z'| is larger than |w'| or z' is less than 0 that the vertex is offscreen. This info is used for clipping the triangle to the screen.
Anyway I think thats a pretty comprehensive answer :D
Edit2: Be warned i am using ROW major matrices. Column major matrices are transposed.