Electric current through a wire creates a magnetic field around it. Current flowing in opposite direction creates an equal and opposite field. Keep the wires close, ideally twisted together, and the magnetic fields cancel out, don't transmit interference, and are resistant to outside magnetic fields for the same reason (rather simplified but the principle is true). Pass wires through separate holes and not only do you lose that "cancellation" effect because the wires are further apart, but you now create a magnetic field between the two wires that can induce (= create) a current in the metal box between them, which is exactly what you don't want to do. I can bang on about differential signalling and common-mode rejection, but the simple model is pretty sound to understand what's happening.