I don't think there is a natural reason for the difference, but a behavioral one, as others have mentioned. Liquor is the "dangerous" one which can be too quickly consumed, and if you start with beer, get used to drinking, instead of sipping, and have your inihibitions relaxed, your more likely to consume the spirits faster and in greater quantities than you would otherwise.
Water and moderation. Personally I'm all in favor of "mixing"...a shot of akevitt before dinner, beer or wine with dinner, etc. If I'm having more than one drink its nice to vary it up.