Why do I need space between two relays?
The magnetic field of one relay coil could affect the one next to it. 

For example, it could actuate the relay next to it, or affect the vibration resistance, or it could decrease the drop-out voltage.

Since adjacent relays with the same polarity drive will have fields that oppose, it can also increase the pull-in voltage, if they are driven the same way.  

More in this application note from Coto (a major and old-line manufacturer), I've reproduced the relevant page below, but there is plenty of other good information in this document.