Because in the disciples' minds, the temple was the heart of the Old Covenant world.

The destruction of the temple would mean the end of the sacrificial system, the priesthood, and everything that defined Israel's covenant life with God. The prophets had already linked God's coming in judgment with the downfall of Jerusalem (Isaiah 13, Jeremiah 7, Micah 3, Malachi 3), so when Jesus said "not one stone here will be left upon another" (Matthew 24:2), they naturally connected that with His "coming" in judgment and the end of the age, the Old Covenant age.

For them, no temple meant no covenant order. The "coming" of Jesus wasn't about Him physically arriving on earth again, but about Him coming in authority to bring the covenant to its close through judgment on the city that rejected Him.

The disciples knew from Daniel 9:26-27 that the destruction of the city and sanctuary would happen after the coming of Messiah and would mark the fulfillment of God's covenant purposes. They also remembered that Jesus had just pronounced judgment on Jerusalem in Matthew 23:37-38, saying, "Your house is being left to you desolate." In Jewish thought, "house" referred not just to the physical temple but to the whole covenant order centered around it.

Old Testament language of God "coming" often referred to His coming in judgment through historical events (Isaiah 19:1, where God "comes" riding on a cloud against Egypt, yet never physically appears). So, to the disciples, the destruction of the temple would be the visible sign that He had "come" in glory to end the Old Covenant age and fully establish the New Covenant reign.

In short, they weren't picturing three unrelated events, they saw the destruction of the temple, the coming of the Son of Man, and the end of the age as one and the same climactic moment in their lifetime.