There's no such thing as a 100% energy transfer. Heating water will lose some heat to the environment. Steam will dissipate before converting to useful mechanical energy. Friction in your generator will sap energy from the system. The generator will lose some electric energy to heat which dissipates in the environment. And on and on and on.

But those are concrete reasons. Generally the second law of thermodynamics says that entropy in a closed system always trends towards a maximum. i.e. there's no free lunch.