lots of good answers here.

Basically an electric utility has to balance demand (energy load) on the grid for their service territory. The equipment to do so (power plants, transmission/distribution lines, substations, etc.) are billions of dollars.

In addition, they will have a portfolio of resources they'll use to create electricity (coal, nuke, renewables, natural gas). Some of those resources are extremely flexible and can throttle up and down as needed. Utilities can also access the market (other utilities) and buy or sell power to them. The market gets constrained on days like today, when an entire region (the southwest) is experiencing a heat wave, in turn demanding energy.

Like Bert609 said, if a utility doesn't have a big enough portfolio, and the market purchases aren't available, you'll start causing major damage to that billions of dollars infrastructure, which in turn will compound their ability to generate power.

So when they want you to use less, they are using one of many tools in their box to try and control or predict demand, minimizing risks to the grid/infrastructure.

California last year, and their rolling black outs, is an example of not having enough supply to meet demand. To address that, they just start cutting off power/demand.