Why is this? The current-carrying wire in the coil generates a magnetic field.
When the current changes direction under AC power, the magnetic field also changes direction.
This changing field creates a voltage which opposes the direction of the primary current.
This magnetic field is amplified by the presence of the iron core in the coil, limiting the current getting to the lamps.
The farther inside the coil the core penetrates, the greater the magnetic field produced, the greater the reactive inductance, and the more the lamps are dimmed.