I have previously written an answer to the math version of the same question. I see no reason why it can't be applied to this case as well.
The human tendency is to prefer worrying about the most recently raised concern: You are reading paper X. You see a term T you don't recognize. You decide to pause reading X to quickly look up T (of course, underestimating how long that will take). You find a paper Y explaining T. While reading Y you find another unclear term U. U has been encountered just now, but T and X were minutes or hours ago - of course U seems like the more urgent thing to figure out. Next thing you know, you're in a meeting about X, you don't know a damn thing about X, but you sure learned everything there is to know about U!
So the human mind, at least in my experience, operates as a stack (in fact a leaky stack, since our attention is quite limited and things at the bottom often become forgotten instead of just delayed). The stack happens to be the defining feature of depth-first search algorithms.
By many relevant metrics, depth-first search (DFS) is a particularly bad choice for reading papers. For instance, presumably the paper you are reading is expected to contain the most important information to you at the time; if there was one that seemed more important, you would read that instead. But with DFS, you will spend a lot of time reading other papers, only distantly related to the original paper - ie. you will waste your time on less useful things.
Because human knowledge is vast, your attention will become exhausted long before DFS hits the wall and starts returning to the original topic.
Probably the biggest reason more efficient approaches (for instance breadth-first search [BFS]) are not more common is that they require additional hardware. Namely, a pen and paper to write a list of things to look up as you read the paper, so that you don't have to split your attention between reading the paper and remembering this growing to-do list. One also has to fight one's own laziness when going to grab a pen and paper, and then (gasp) actually writing, which is much slower than thinking.
Also, the only important point isn't the order in which you look things up. There is also a pruning issue. Many people (including myself) will overestimate how important a term is to understanding the main point (quite a silly habit, since it's essentially trying to guess what it will take to understand a text you have yet neither read nor understood). With a BFS style approach, often it turns out that most of those things you thought you should look up don't really matter and you don't need to look them up. With the DFS, it is much harder to tell what terms actually matter, which ones are irrelevant and which ones become obvious by the end of the text.
Basically, you have to exercise your patience and rebuke your inner sloth. Finish reading your current thing first before looking everything up. Don't worry, you won't forget - just write down what needs to be looked up, with references to where it occurred if you are very worried. Yes, you do have to physically write things, which is clumsy (hence why I say rebuke your inner sloth) but absolutely necessary to overcome some crucial limitations of the human brain. You can type instead of writing, or highlight, or draw !'s on the margins - doesn't really matter, so long as you use a physical (as opposed to mental) means of recording it, and finish what you're reading before starting to read other things.