I believe it has something to do with not being affiliated with a realm. The game does not allow rogue infiltrators. (There are some blatant abuses that would be enabled by this.) I think the idea is that when you emigrate, you are briefly unaffiliated with a realm, so you lose the subclass.
Not sure I really agree with that, but that's how it is. There is some talk about reducing the amount of time it takes to change subclasses, perhaps with some controls to prevent rapid toggling.