It's because here's how it is setup:
Your iPhone is capable of receiving iMessages sent to your phone number and @me.com e-mail.
Your computer, however, is only capable of receiving messages that are sent to your @me.com e-mail so therefore if anyone sends a message to your phone number, they will only go to your iPhone.
This is dumb, right?! I mean, the whole point is supposed to be so that you can "pick up on a conversation from your iPhone to your mac," but that really isn't the case. What you can do is start a new conversation with that person's phone number, but from your @me.com e-mail. The main issue is that now that creates two conversations in the friend's messages app (one of which they were having with your iPhone, and one that they are now having with your e-mail). As far as I can tell, there is no way in the messages app to "send from" your phone number.
My thought is that eventually Apple will change it so that all iMessage communication goes through your e-mail. I mean, that's how iPad works, and now the Mac, so iPhone is really only the inconsistent one. If, when someone sends you a message, it would go to your e-mail instead of your phone number - problem solved! Hmmm...