Well, if I can jump in with a guess, the primary impedance is probably greater with an open secondary because the magnetic field in the transformer core can't "bleed off" as secondary current. The magnetic field is bigger and pushes against almost all the current flow in the primary.
Transformers work because a changing (AC) electric current creates a magnetic field (or flux) around the conductors, and a changing magnetic field creates an electric current. In a transformer, the primary AC current creates a magnetic field in the core which is then transferred to the secondary (or secondaries.)
If there isn't a closed secondary circuit, the magnetic flux can only work on the primary. At least, I'm pretty sure this, and I have heard the phrase "counter-EMF", which refers to a voltage created inside inductors which opposes an applied voltage. Considering how efficient most transformers are, I'd assume that with an open secondary, they could also create a massive inductive load on the primary and hold off most of the potential current.
