One explanation would be this: as is well-known, the asymptotes of a curbe ‘meet the curve at infinity’. So consider the projective completion of the affine plane. A point in the projective plane is defined by its projective coordinates $[X:Y:T]$, not all $0$, defined up to a non-zero factor.
If $T\ne 0$, the point corresponds to a point $(x,y)$ in the affine space, such that
$$x=\frac XT,\quad y=\frac YT.$$
If $T=0$, the point $[X: Y:0]$ is called the point at infinity in the direction $(X,Y)$.
Now to the affine hyperbola with equation $\;\dfrac{x^2}{a^2}-\dfrac{y^2}{b^2}=1$ is associated its projective completion, which is defined by homogeneised equation:
$$\dfrac{X^2}{a^2}-\dfrac{Y^2}{b^2}=T^2,$$
and to find the points at infinity of this projective hyperbola, we just set $T=0$, so that the points at infinity satisfy the equation
$$\dfrac{X^2}{a^2}-\dfrac{Y^2}{b^2}=0.$$