It’s a bit like a collision with any accelerating object. Imagine you were going to get hit by a car, and the car starts fully parked.
Would you rather make contact one foot away from where it was parked, or 20 feet away, assuming the pedal stayed the same depth the whole time? The car will be going much faster and therefore be more damaging once it’s 20 feet away than when it’s 1 foot away, so if you must take the hit, closer is safer.
With a punch, there’s also the issue of not only acceleration but also recruiting power from more muscles (getting more “weight”) into it as it nears its optimal range, but the basic principle is the same.
Incidentally, that’s why Bruce Lee’s “one inch punch” is such an impressive trick. It’s very hard to deliver an effective punch if the target is only one inch from your fist because there’s no room to accelerate and recruit more mass.
EDIT; also, one important detail that is specific to punches. Usually when you move into a straight punch, you also tilt down your head so that the fist connects with your forehead instead of your chin. This shrinks the distance but also greatly increases the chance that their hand will be injured since your skull is more solid than your jaw.
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