This is related to the f0 stuff you were asking about the other day.
When Praat tries to find what it calls "Pitch", it searches an acoustic signal for repetition over a (small, in this case) period of time. Sounds with very low frequency take more time to repeat (1/frequency = period, if you remember your physics), and consequently require a larger sample window to be found.
If you use a larger sample window, you'll find the repetitions of lower frequency sounds, but you'll lose some resolution in your pitch curve.
If you use a smaller sample window, you'll have higher resolution in your pitch curve, but you'll potentially miss low frequency signals.
At least, that's always been my understanding of how Praat works. jkpate will hopefully be able to offer a more rigorous explanation.