I worked for the Texas Employment Commission (now called the Texas Workforce Commission) for 7 years. I don't understand it either, but the reality is that it is easier to get a job if you already have a job. I don't know if it is bias/discrimination against the unemployed. In fact, I doubt it.
My personal opinion (and, of course, I may be wrong, but I doubt that also) is that this phenomenom has two components.
1. If you already have a job, and the (mortgage payment/child's surgery/car repair bill) is not dependent upon whether or not you get the job for which you are interviewing, you probably are more relaxed and you interview better.
2. Employers love to steal employees from each other--particularly, from a competitor in the same field.