Look at this picture (PDF file):
http://www.eatonelectrical.com/unsecure/cms1/AFCI_CUTAWAY.PDF There is a tiny circuit board in there, with a power supply to supply DC to the circuitry (probably SMPS). There's even a big resistor. It will use some power to do the line monitoring constantly, and dissipate heat in doing so. And it's rather tight in there, so it's hard for the heat to get out, hence a noticeable temperature rise will result (the heat is getting out through the molded case).
