Why it is implied that objects are equal if compareTo() returns 0?

Extract from the java.util.SortedSet javadoc:

Note that the ordering maintained by a sorted set (whether or not an explicit comparator is provided) must be consistent with equals if the sorted set is to correctly implement the Set interface. (See the Comparable interface or Comparator interface for a precise definition of consistent with equals.) This is so because the Set interface is defined in terms of the equals operation, but a sorted set performs all element comparisons using its compareTo (or compare) method, so two elements that are deemed equal by this method are, from the standpoint of the sorted set, equal. The behavior of a sorted set is well-defined even if its ordering is inconsistent with equals; it just fails to obey the general contract of the Set interface.

Hence, in other words, SortedSet breaks (or "extends") the general contracts for Object.equals() and Comparable.compareTo. See the contract for compareTo:

It is strongly recommended, but not strictly required that (x.compareTo(y)==0) == (x.equals(y)). Generally speaking, any class that implements the Comparable interface and violates this condition should clearly indicate this fact. The recommended language is "Note: this class has a natural ordering that is inconsistent with equals."

It is recommended that compareTo only returns 0, if a call to equals on the same objects would return true:

The natural ordering for a class C is said to be consistent with equals if and only if e1.compareTo(e2) == 0 has the same boolean value as e1.equals(e2) for every e1 and e2 of class C. Note that null is not an instance of any class, and e.compareTo(null) should throw a NullPointerException even though e.equals(null) returns false.

(From the JDK 1.6 Javadocs)