When the car is in neutral or part there is less load on the engine because the transmission is just freewheeling. Once you put it in gear the trans puts a load on the engine trying to move the car forward or reverse, and you are actually holding it back with the brakes. The RPM will often drop slightly when you put it in gear as well.

It's kind of like a guy standing relaxed, versus a guy waiting for the starting gun at a race. Neither are moving but the runner's legs are all tensed up waiting to take off while the relaxed guy's legs are holding him up but with no immediate readiness to take off.

__________________