It is because the wavenumber is smaller, and the loss multiplier in the exponent is equal to the wavenumber times the loss tangent, for dielectric losses.
Also, often lower dk materials have lower loss tangent.
Look for the exp(j(wt-kz)-az) description of the wave. Propagation constant gamma =alpha+jbeta
In the line a = alpha and k = beta. alpha/beta= loss tangent = tan delta
wave is exp(j(wt - kz(1-jtan delta))). Loss is kztan delta
I think the smaller k also reduces the metal losses.
Lower dielectric constant material has a lower relative permittivity. It means the field permitted within the material is less. Therefore material with a lower dielectric constant has a lower reactive or storage property and higher active property. Therefore, effective power loss and insertion loss will be less.