The index could be not the best one.
For example (pretty silly i know) you got a selection of all the Customer (KNA1) with the same country (LAND1): you can have TONS of records with the same country and this slow down performances.
When the DB uses an index this doesn't mean that's the best.
It SHOULD be but if you do a selection like the previous (on KNA1-LAND1) and you do not have an index on it, the DB try to find out the most suitable one.
i hope i'm clear enough, i find hard to explain what i got in mind at this point of the day (9 hrs of dev under the belt for me now 
)