I went right to the source on this one, and asked my kitten Jake. She says that it's because lasers are demented little aliens from other planets, and it is the kittens' bound duty to protect us from an invasion. And yarn is likewise evil, and has plans to take over the planet.
Cats are predators, born hunters. They are genetically conditioned to chase anything small that moves. Lasers, yarn, balls, small rodents. I had a cat once who loved foam ear plugs. She would bat it around on the floor then bring it to me like prey. Then id throw it and shed actually fetch it and bring it back.