Hi Mahesh
This is only when you execute a KPI directly from the KPI itself. However with Lifecycle job configured it will automatically execute the Data Provider to fill the data set.
Actually KPIs are a data store where the data from the provider is cached periodically (based on configured lifecycle job frequency). This data is then accessed using the KPI Query. This is done to make the performance faster as data acquisition and aggregation calculations on the fly for certain sources of data (read non SQL) would be very slow and make it impossible to use.
Please read this document to get more information on KPIs and how to use them.
http://scn.sap.com/docs/DOC-36247
Best Regards
Partha