This is an exert from WebMD, it looks like no-one really knows exactly why it happens:

"Antidepressants and Weight Gain: What Happens and Why
Although there are a number of theories as to why antidepressants lead to weight gain, Sussman believes that both appetite and metabolism may be affected.

"I have had patients who swear that they are not eating any more, but still gaining weight, so that tells us there is some kind of metabolic influence going on; I have also had patients tell me that they are not only more hungry and eating more, but that the medicines are encouraging a carbohydrate craving that is hard to control, so we know appetite also plays a role," he says.

Fincham says antidepressants may also simply help us to rediscover pleasure in our life -- including food.

"It might be a situation where someone feels so much better when taking an antidepressant that lots of things suddenly start feeling more pleasurable to them, and food is just one of them. So in this instance they may actually be overeating and not even realize they are doing so, says Fincham.

Findings from a group of Italian researchers published in the journal Psychotherapy and Psychosomatics suggest that the simple act of recovery from depression may play a role in the weight gain."