Any time the user you're logged in as does not have full permissions for the item you'll get asked for a password. If there are other users on your computer, perhaps the software was installed by one of them; I think the default for the Applications folder is only read and execute for users other than the one who installed it.
The same can happen if the app has an installer regardless of who installs it, depending on how it's set up.
If you're curious, you can always do a "get info" and see who owns it and who has permission to do what.