Because it's looking for a 3G signal, which it will never find on T-Mobile... and I bet your battery drains rather quickly... trust me, there is no 3G service for the GSM iPhone on T-Mobile.
AT&T and the other North American GSM carriers (except T-Mobile) use 850 (sometimes referred to as 800) and 1900 mHz ... T-Mobile uses 1700 and 2100 mHz. The iPhone is set to the AT&T frequencies...
EDIT: BTW, lower case is the GSM method of indicating NO connection has been established. That holds for GPRS (gprs), EDGE (edge) and 3G (3g).