Most obviously it does. Same reason you can not plug a DVI caple into a VGA output, they are just physically incompatible.
Additionally your motherboard BIOS might just not like some processors.
I advise reading up on your motherboard model to see what processors it supports.
When changing the CPU, it is important to place new thermal gel between the surface of the CPU package and the heatsink when finishing off. The gel has a lower thermal resistance than a tight seal with air so improves heat dissipation efficiency.