Imagine a billiards ball hitting a wall (basically a very heavy object); it will bounce back with roughly the same energy it had going into the collision (alternatively think of a ping pong ball hitting a billiards ball). Now imagine a billiards ball hitting another billiards ball of equal mass; it will efficiently transfer energy to the target and will come to a standstill. The kinematics of moderation (reducing energy of the neutron) favor targets that have as close a mass as possible to the neutron.