Why does Airdrop on OS X only work in close proximity?
It uses Bluetooth to look for nearby devices.
You can read more about it on AppleInsider:

It should be understood that AirDrop is a proximity-limited technology, meaning that it will only work when two or more users are near each other. This is illustrated by the requirement that a compatible device, which will be limited to the iPhone 5 or later, fourth-generation iPad, iPad mini, and fifth-generation iPod touch, have both Bluetooth and Wi-Fi enabled.
When AirDrop is activated, it uses Bluetooth to scan for nearby devices that are advertising discoverability. User can elect to be seen by everyone, only by contact, or not at all if the feature is turned off.