Why analogue pins affect each other?
This is to be expected.

The other pins have nothing connected to it, so their voltage is floating.

The Arduino MCU only has a single ADC. To read the different analog pins, it uses a multiplexer to connect the pin you want to read to the single ADC. The ADC inside the MCU have a "sample and hold" capacitor inside it. 

To read the voltage at the pin, it will connect the pin, to charge the sample and hold capacitor. It will then disconnect and measure the voltage of the sample and hold capacitor, one bit at a time.

So in your case, by reading the voltage at the connected pin, it will charge the capacitor. It will then read the unconnected pins. But because nothing is connected the sample and hold capacitor will stay at about the same voltage, because the unconnected pin will neither charge, nor discharge it.

Measuring the voltage on the sample and hold capacitor will slightly lower this voltage, so that's why in the graph the lines will be lower than the previous measurement.

PS Also, because all the pins are placed in a breadboard, you'll have some capacitive coupling between the adjacent pins.