This is explained in the CC0 license itself under "The Problem":
Few if any jurisdictions have a process for [contributing their works for public use before applicable copyright or database protection terms expire] easily and reliably.
Basically, some jurisdictions don't recognize the concept of relinquishing your copyright, or may not allow you to do so voluntarily. This means that if you produce a creative work, you may automatically have a copyright whether you want it or not. The best you can do in in this case is to provide an explicit license. CC0 tries to make the license grant as close to public domain as possible, even in case the concept of public domain is not recognized or relinquishing copyrights is not possible.
... many sites are offering CC0 licensed images to download as copyright free ones.
If they license the images under CC0, then that is the actual license. The phrase "this is copyright free" is not necessarily accurate and is potentially confusing (see above "The Problem"). But if in addition to saying something like "this is copyright free", the author also explicitly says that it is CC0-licensed, then you should take the CC0 license as the definitive license.