It is ultimately tied to the notion of distance and how we calculate it in the xy-plane that we're familiar with. Imagine placing a right triangle, with sides a,b,c, with one vertex at the origin, like below:
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Owing to the dimensions, the vertices obviously lie at (a,0) and (a,b) and (0,0) (the latter by assumption of course). Then the distance from (a,b) to the origin is
by the distance formula - or, equivalently, c by construction (and the Pythagorean theorem as well).
For each point (x,y) on the circle, that distance needs to remain constant - that distance being the distance between (x,y) and (0,0). That distance is perfectly described by c - in fact, it is exactly the radius of the circle!
Imagine continuously varying a,b so that c remains constant. Then that vertex that's not on the horizontal axis ultimately traces out a circle as a result. We could define this circle O by
to establish the whole "distance to the origin remains constant" thing: after all, that's the defining property of a circle, the set of points equidistant from a given point (here, the origin). Equivalently, though, we see by squaring both sides of that latter equality
making the involvement of Pythagoras that much more clear.