I think it's much worse for a grad student. It may have to do with the cultures of industry and the academe.

In industry, competitive hiring and job-hopping are considered to be normal. Confidentiality is assumed, for the most part. There are some stock, face-saving reasons why you're leaving your previous job, that don't open cans of worms. There are lists of questions that you don't ask. And It's not weird if you're changing jobs after a couple of years. Your seniority and promotion clocks don't typically get reset to zero.