A reflex action is often called an involuntary action it is instictive, such as withdrawing your hand form a hot object.
The stimulus ( the heat) is picked up by receptors in the skin and is carried along the sensory neurone to the nearest relay neurone (often in the spinal cord) then by the motor neurone to the effector - your muscles. It does not have to be sent to the brain.
A later impulse is sent to the brain and it is how you register that you touched something hot just after you have removed your hand. Note this is not part of the reflex action.
The electrical impulse of a reflex action therefore, travels a smaller distance and doesnt travel across as many synapses as a normal stimulus response. Synapses take up time as the electrical impulse has to diffuse from one side to the other.
A normal stimulus response would have to travel all the way up to the brain, be registed and a response sent back out. Travelling a greater distance and through more synapses thus taking more time.
Quite simply because a consious,voluntary action requires the nervous impulse to be sent via the brain before the action can be carried out.
With a reflex action, on the other hand, the signal goes tthrough the spinal chord but bypasses the brain completely. The action can be carried out a lot quicker simply because the signal pathway is a lot shorter.