This is only the 14th time this has happened in MLB history. The play itself is relatively easy for the fielder (as seen in this video). It is so rare because the conditions leading up to a potential unassisted triple play situation are very rare.

Quoted: Asdrubal Cabrera makes a diving catch steps on second then tags the runner going to second

More on Wikipedia: http://en.wikipedia.org/wiki/Unassisted_triple_play