It depends on the physical properties of the substance. Sometimes heating a hydrophobic substance can increase solubility. Also, heating may cause the substance to denature and dissolve. In the case of proteins, proteins can contain many hydrophobic parts but still be soluble in water. However, hydrophobic substances do not typically dissolve in water, due to the polar nature of water. Typically, scientists use the word "hydrophobic" only to describe substances that have a negligible solubility in water. You may have meant to ask "why do hydrophilic substances dissolve in water".