Futures markets are based on individual contract. Every contract has its own life cycle. At every moment, there are certain number of contracts, which are active and have expiration dates somewhere in the future. When one contract expires, new contract is added for trading and this cycle repeats. So every contract has its own limited history of data. If we want to have a long-term continuous history, we need to join data of different contracts together. This is different for example to stocks which offer a continuous stream of prices (usually since start of trading).