PC shutting down after overclocking CPU why ?

Your CPU isn't stable with the overclock speed because it exceeds the design parameters. Some can be overclocked, some can't. Most can be a little at least. It is just luck to get one that can be stable at a high overclock without special cooling. 

Because your CPU is unstable with whatever parameters you used. All CPU's have a limit to what they can handle.

Sounds like the Thermo-compound may have to be added between CPU and the Fan. Without it the CPU will overheat instantly therefore causing the pc to shut off instantly.

The settings you input are not allowing stable system performance so the system shut's down to prevent damage to the components. I'm not sure why people insist on overclocking. I know what it does and the benefit of it but the components are not designed for the output and the life span will be shortened.

Imagine a car. You get a 2L engine. It'll run normally, the drive train will handle everything and all will be fine. 
Now, you decide to bore the engine and increase it to a 2.3L engine. The drive train will be under increased stress that it was not designed to handle. This increase in stress will shorten the life of the individual components until it fails, sometimes a minor failure and sometimes a catastrophic one.

If you purchase a computer, get the spec you want. If a 3.4GHz CPU is what you want, get that. Don't get a 2.8GHz CPU and then overclock it to 3.4. The expense will be greater than just getting what you wanted in the first place.

Another note. If you do not know why the system is shutting down after overclocking, then perhaps you shouldn't be doing it as you are not familiar with the process or do not fully know what you are doing. It may work, eventually, but when your system fails, hopefully it won't be during mission critical events where downtime and delays must be avoided.

Most computers today are designed to turn off automatically if any of its inner components overheat An overheating power supply, due to a malfunctioning fan, can cause a computer to shut off unexpectedly. Continuing to use the faulty power supply can result in damage to the computer and should be replaced immediately.

The CPU or RAM is unstable. 

Generally overclocks fail because of a lack of voltage or the CPU and/RAM speeds are set too high. The motherboard or CPU may not overclock well with the RAM you're using. Also, cheaper motherboards don't overclock all that well. Since you didn't list your system specs, and the OC settings you tried, it's difficult to give you an accurate answer.

As an example, I have an x79 system with an E5 1680 v2. If I try to set the clock speed to 4.9ghz then the system won't boot unless I raise the VCore to an unsafe level. 

If I dial the speed back to 4.6ghz and I give the CPU a proper amount of voltage then it will boot, no problem. Going to 4.7ghz needs a fair bit more voltage that gives the CPU an unsafe voltage level for 24/7 use. At 4.8ghz the CPU need too much voltage to boot, and 4.9ghz needs an absurd level.

If you do some research into overclocking, you will find that not all processors of a particular type overclock the same. For example, You could buy/have two Core i7-8700k processors. One will overclock to 5.2ghz at 1.3v while the other only hits 5.0ghz at 1.3v. Then your buddy whom has an 8700k won the Silicon Lottery with his 8700k that can hit 5.3ghz at 1.3v.

Don't brick your computer please.