Thats because the chain connected the rear wheel allows the countershaft to be moved over so slightly so you can shift, have you ever noticed that sometimes you have to rock your bike/quad to make a shift, well without a chain you couldnt do that without puttint your hand on the sprocket to manually do it.

If the chain is off the bike, try rotating the sprocket with your hand while you try to shift. If not the reassembly could of been done wrong, the shift fork could be bent or broken. Need a little more info.