Why is MSE of cross validation higher compared to a linear model

I am tuning the lambda parameter of an elastic net with the glmnet package. For this purpose the package provides a cross validation based on the function cv.glmnet. With the function I am able to print the MSE of each tested lambda. I am also able to select a set of variables according to the tuned lambda parameter. These variables can then be put into a linear model. However, when I compare the best MSE of the cross validation results with the MSE of a linear model with the selected variables, the results are quite different.

Question: Why is the MSE of the cross validation higher compared to the MSE of the linear model?

Below, you can find some reproducible code, which shows what I have done so far.

library("glmnet")

set.seed(1234)

# Some example data
N <- 1000
y <- rnorm(N, 5, 10)
x1 <- y + rnorm(N, 2, 10)
x2 <- y + rnorm(N, - 5, 20)
x3 <- y + rnorm(N, 10, 200)
x4 <- rnorm(N, 20, 50)
x5 <- rnorm(N, - 7, 200)
x6 <- rbinom(N, 1, exp(x1) / (exp(x1) + 1))
x7 <- rbinom(N, 1, exp(x2) / (exp(x2) + 1))
x8 <- rbinom(N, 1, exp(x3) / (exp(x3) + 1))
x9 <- rbinom(N, 1, exp(x4) / (exp(x4) + 1))
x10 <- rbinom(N, 1, exp(x5) / (exp(x5) + 1))

data <- data.frame(y, x1, x2, x3, x4, x5, x6, x7, x8, x9, x10)

# Cross validation
cv <- cv.glmnet(x = as.matrix(data[ , colnames(data) %in% "y" == FALSE]),
y = y, alpha = 0.5, family = "gaussian")

# Variable selection
cv_mod <- glmnet(x = as.matrix(data[ , colnames(data) %in% "y" == FALSE]),
y = y, alpha = 0.5, family = "gaussian", lambda = cv$lambda.min) vars_mod <- names(cv_mod$beta[ , 1])[as.numeric(cv_mod$beta[ , 1]) != 0] # Linear model md_lm <- lm(y ~., data[ , colnames(data) %in% vars_mod]) # Comparison of MSE cv$cvm[cv$lambda == cv$lambda.min] # MSE of cross validation with best lambda
mean(md_lm\$residuals^2) # MSE of linear model


I ran this code several times with different seeds and most of the time the MSE of the cross validation is higher.