It is only very recently that ATMs have used anything more advanced than a dialing system (think Dial-Up 56k) to perform transactions, with a huge number of them still using a dialed line (especially off brand ones in corner shops eg.). In such a scenario, it makes sense to delay making the call to the bank until it has all the information needed, otherwise a phone line is off the hook for the time it takes to enter your PIN, Select amounts etc. As a result of that, it has no idea if the transaction will succeed until the call is made - so it lets you enter any PIN, select your amounts etc - then makes the call to the bank - and discovers the transaction fails - and so without revealing itself, asks you for the PIN again for "Security Reasons".
Technology now is a lot further ahead, with PIN authentication available offline (at least several attempts) using Chip/PIN based card Crypto etc. But there are still a scary number of Windows NT/XP based, Dial Up ATMs out there - and even then - the software on more modern ATMs is written to behave like the old ones - better not to tie up the server before you need to - right ?
(The above may not be perfectly accurate, but its the general idea - as far as it was explained to me!)
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