In several cases in recurrence relationships, the recurrence is due to the nature of the objects which allow them to be put into disjoint classes, each of which has as number of elements the number of elements given by a previous number of the recurrence. Not all recurrences have such a straight forward interpretation, nor all objects to count can be put into a nice looking recurence, tho.
In the case at hand, if $S$ is the set of all these binary sequences there is a natural splitting into two subsets: $S_0$, $S_1$ are those sequences that start with $0$ and $1$, respectively. Clearly $S = S_0 \cup S_1$, and this union is a disjoint union, so that
$a_n = |S| = |S_0| + |S_1|$.
Now notice how if you already put a $1$ at the start, then you can put whatever valid combination (i.e. not two consecutive 0's allowed) after it and generate one of the sequences from $S$. So $S_1$ has as number of elements just $a_{n - 1}$.
On the other hand, this doesn't work immediately if you start with a $0$, since you cannot put immediately another $0$, since you would have $00...$ which is not valid, so by force, you put a $1$ to begin with $01...$ and then you have $n - 2$ slots to fill now in any way, as long as there are not two $0's$. Hence, $S_0$ has as number of elements $a_{n - 2}$.
You conclude from this $a_n = a_{n - 1} + a_{n - 2}$.