It's how the game is designed. Someone with a better technical background could explain it better than me.
Basically, a Bethesda game is broken down into cells. So those interior areas in a building when you go through a loading screen is loading up a cell, and when you exit it's loading up the exterior cell. Technically, when you're travelling outside it's sort of pre-loading the adjacent cells.
You can only fit so much stuff in a cell before it starts to bog down. You know how a Bethesda game has all those individual items that can be placed and manipulated (and in this game broken down into components.) That's a big strain on memory. Dividing the world into cells helps keep things running smoother, by letting the program only have to process one area at a time. Games without loading screens tend to have more static locations.
When you go into a building it loads just that cell so that you can have more detail in that level. And even then there's an upper limit before you start running into memory issues. Those elevators you run into sometimes? Just a disguised loading screen so they can break the level into more manageable chunks.
It's a trade-off. No loading generally means less items to keep track of (which is why interior levels have more details and items than exterior locations, generally.) If you want more stuff in each location, then you're going to have to find some way to load that into memory.