Why is it - when you have job interviews/apply for jobs - you often get asked if you've applied for other companies?

You haven't any idea what I'm asked during an interview. If you mean why do interviewers sometimes ask, they're trying to gauge how interested other employers are in you.

the only people that ask that are HEADHUNTERS - employment agencies, because they don;t want to be talking to companies about you that you have already applied for

Headhunters are the only ones that have ever asked me this question. They want to know this to keep from presenting you to clients where other headhunters have already submitted your application.

You can always ask the interviewer why they feel that is important.

They want to know what is wrong with you and why you haven't been hired elsewhere. If you tell them this is among your first applications/interviews, they can use that information accordingly.

Ask them why that's pertinent, tell them you're in the field to find a job, and would prefer to work for this company than others but don't want to prolong unemployment doing one application at a time.

They understand that.