All a brake rotor is is a HUGE heat sink. When you mash the brake pedal the brake pads clamp on the rotor causing friction. This friction goes from kinetic energy (if I remember right) to thermal energy.

When you drill out or slot a rotor you are effectively taking out material from the rotor so cannot hold as much heat as a solid blank rotor.

I used to have drilled rotors when I 1st started autocrossing cause I didn't know better. I had PowerStop rotors (drilled and slotted) with Axxis Metal Master pads. Braking wasn't great but ok. Then I learned from guys here and on other forums and went to a Brembo Blank rotor and AEM pads and the braking was on the side of incredible. I could never get my car to slow down quick enough with the 1st setup. Second setup just pulled my teeth out.

Also with drilled rotors (ones that are not CAST with the holes) you can actually get cracking of your rotors - which is BAD!