My doctor told me it is because the heat opens the pore up...with an open pore and an agent such as mineral ice, tigers balm, etc...he says a higher percentage can access your blood stream, which isn't exactly good for you... on top of the fact that it can cause extreme irritation to the skin,capillaries, and blood vessels in the applied area.
I found out the hard way from using tiger's balm immediately after a hot shower and getting a bad heat rash in the area I applied it..so I asked my doc about it.