Why second sprint start immediately after the first one?

Why does the next day start immediately after the previous day ends?

Because it can't start before the first one?  Sorry.....  Couldn't help myself.

I'm going to go with why wouldn't it?  What do you feel needs to be done between Sprints?  Backlog refinement is a continuous activity across Sprints.  Backlog management is a continuous activity across Sprints.  A Sprint is a timeboxed event where work is done.  If you are doing continuous Product Backlog management and refinement, then there is no need to have any time between Sprints.  Sprints begin with Sprint Planning and end with the Sprint Reviews and Sprint Retrospectives.  Logically based upon the reasons for the 3 Events, they flow from one right into the other.  

I am going to ask why you think the second sprint shouldn't start immediately after the first one?  

I have always assumed it is to prevent the sprint timebox being bypassed by use of 'preparation time' between sprints.

There is no such time between sprints, so there must be at least one releasable Increment every month.

Are you having any proposals in your company to have some sort of break after each sprint? I am not sure why the need to point out the reason.

I think it depends on how you define "immediately".

I agree with Daniel Wilhite's interpretation. A Sprint begins with Sprint Planning and ends with Sprint Review and Sprint Retrospective. Everything else that the team does, such as the development and delivery of the product or service and Product Backlog refinement, happen between these events. I also agree with Simon Mayer that it's to prevent a significant amount of "prep time" or "dead time" between Sprints.

I see a "significant" amount as more than hours - something measured in days, perhaps. Let's take an example. Let's say you're running two-week Sprints (which, based on surveys that I've read, are the most common Sprint length). I would normally expect 2-4 hours for Sprint Review, 1.5-3 hours for Sprint Retrospective, and 4-8 hours for Sprint Planning. That's between 7.5 and 15 hours for these "Sprint endcap" activities. Since that's extremely taxing, many teams would split this up over two days. But let's say you do Sprint Review and Retrospective on one day for about 4-7 hours. If it's the shorter end, I still wouldn't expect the next Sprint to start until the next day, with Sprint Planning. I wouldn't consider those 1-4 hours as any kind of significant preparation time. In fact, I would even consider it welcome - it provides a good opportunity for fitting in a lot of overhead activities that I've seen exist out of Scrum, such as company mandated training, skills development, or even team bonding and social time (which is sometimes good for working hours since people may not have time before or after work).

To me, the issue is if you have Sprint Planning separated by 8+ working hours from the conclusion of Sprint Retrospective. If you do, I'd want to understand why this gap exists and what is being done with it. But I wouldn't necessarily question a couple of working hours that aren't allocated to a Sprint.

Why second sprint start immediately after the first one?

If a gap existed between Sprints, it could reduce transparency over the work being done in each of them. Can you see why?

I agree with @Thomas Owens on the timing of events. I actually prefer having Sprint Review and Sprint Retrospective in the afternoon to end the day.  Then start the next daywith Sprint Planning.  It gives people a chance to decompress and "think about" what they learned during the ending events and they can come into the Sprint Planning with a fresh outlook. 

If a gap existed between Sprints, it could reduce transparency over the work being done in each of them. Can you see why?

@Ian Mitchell, Is it because it will affect empiricism? or is it due to the increasing risk as a result of the gap, or the diminishing value as a result of elapsed time?

Think of it as a gap under the carpet within which undone work and other issues might be swept.

There is a negativity on cadence due inconsistency. You always want to develop a rhythm, a pattern that is consistent for uniformity. A regular cadence, uniform heartbeat, helps to reduce complexity and risk and optimise predictability to you completing the work, turning effort into productivity and productivity into value, as quickly as possible

It’s like observing a clock, tik, tok…, and after a while you say, “hang on, let's put it on hold” and yet again, after a while, you restart. You lose that drive and consistency, uniformity.

A blow to steadiness, smoothness and flow, a cadence and heartbeat. The resulting time lag leads to a drawback and loss of information, especially derived from the last sprint or the bounce from that sprint. 

When the sprint resumes, the Scrum Team must also now do catch-ups and put themselves in that same frame of mind they were, prior to the recess

What about the effect on the urge to quickly implement the improvement action derived from the Sprint Retrospective? A negative impact on creativity, generation and quick execution of ideas. Also, a loss to optimise innovation

You would also say the ability to minimise Time-to-Market suffers. Market leadership and that thirst for competitive advantage also suffer.

The use of Scrum is to always enable you to maximise opportunity and deliver value to the customer in the shortest nick of time. This allows you to equally obtain a reasonable feedback to which you can work with, all for the purpose of improvement and continuous optimisation of that value.  

Overall, the Scrum value of commitment and the courage to adapt quickly suffers. There is also reduction in focus, another value of scrum and lastly a reduction in transparency, a pillar of the empirical process control theory

Time is a great delimiter of human endeavour. Use it wisely

Scrum on!