Have a look on anomalies.
The intuitive answer is simple: If you have conformal symmetry there shouldn't be any energy (or equivalently length) scale in the model, and this is the case, e.g., for QED or QCD with massless matter particles (since the gauge bosons of un-Higgsed gauge theories are massless by local gauge symmetry). Now, if you calculate radiative corrections, i.e., Feynman diagrams with loops, they diverge (for self-energy and vertex diagrams). You have to subtract the infinities in the usual way in the renormalization procedure. You can do this independently from any regularization scheme by using BPHZ renormalization, i.e., subtracting the divergent parts directly from the integrands of the loop integrals. Now since the theory is massless, you cannot choose the usual BPHZ subtraction point, with all external momenta of the diverging diagrams set to 0, because then you'd get additional infrared singularities, but you have to subtract at a point where the external momenta are chosen spacelike, and this implies that you are forced to introduce a scale, the renormalization scale, and this breakes scale invariance and thus conformal symmetry, which implies that the corresponding Ward-Takahashi identity, it.e., the vanishing of the trace of the energy-momentum tensor, is violated. That's why this anomaly is also known as the "trace anomaly".