Because investors are dumping out of bonds. It's just a moving of existing invested money. The point is driven home, as it were, by the question "If all countries are in debt, where did the money go?" And for the answer to that, see Ninja_Jackie_san's answer.
When job creation is low the Federal Reserve keeps interest rates low. This makes more money available to investors. The idea is that investors/corporations will invest the money borrowed at these low interest rates in job creation. However, what often happens is that investors/corporations invest in the stock market where they can make more money (not jobs) this makes their quarterly reports look good, which in turn makes their stocks rise. They make more money which they use to invest in....making more money...etc., etc., etc.