The reason for that is because in sleep states what the MCU needs is only a small part of the whole - stuff like LDOs and DCDC converters also need some current

The reason for that is because in sleep states what the MCU needs is only a small part of the whole - stuff like LDOs and DCDC converters also need some current and sometimes other chips are directly connected and take some power even when disabled. For instance a very cheap 3.3v LDO I was using was taking about 1mA simply for being connected. I am pretty sure this is a similar situation here and you can't go much lower with the current circuit.