Course evaluations from my 10+ years of teaching general and organic chemistry
I get this one a lot, too. I think that the issue is that homework is focused on a small amount of material. Even if the same type of question (or even the SAME question from HW) appears on the exam, it seems harder because it is within a set of problems encompassing a large amount of material and concepts.
Yeah, it also may just seem harder when they can't use their notes or the book.