A combination of things.
First of, as stated by u/TheJeeronian, with heat things expands and with cold things contract. As a result heating and cooling will force the object to move. With material that are not naturally flexible, this movement can lead to the object shattering.
Second, rapid heating and cooling can weaken the bond between atoms. Objects flexibility can then change again. Making it harder or softer depending on how it is cooled. That can also be seen in the different cooling method for forged metals. Some are used to make the metal softer and malleable while other to make them hard, but more brittle.
Glass follows the same pattern, but the rapid heating heating and cooling ends up making the glass less flexible while forcing movement within it. Eventally, the glass ca no longer handle the movement and break.
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