Low capacitance diodes
Any capacitance in parallel with the signal path will form an low path filter (or some more complex filter, bandpass,..) together with the impedance of the signal path. So you will attenuate higher frequency parts of the signal - and especially in the case of signals with rectangular shape, you need the higher order harmonics.
With fast data transmission systems even a average oscilloscope probe may introduce so much capacitance, that it will distort the signal and the data transmission cause to produce errors. This is why you need active probes which usually have an order lower capacitance. And its the same cause for protecting devices like TVS diodes to have this characteristic too.
Edit:
You may find that transmission lines are modelled with a cascade of 1st and 2nd order low/band path filters. so you can measure and/or simulate your data path and then place a equalizer in your signal processing which will try to revert some of the signal distortion caused by the data path. This can - to a certain limit - also revert the negative effects a protection diode has. Never the less, the better the diode is, the less work needs to be done by the equalizer. Some sort of equalizer today is common with any high speed data transmission.