Contact patch between two round wires is extremely small. A massive amount of current passes through that little patch when you short the wires (as that is now the only spot with any kind of larger resistance, hence total resistance is very low). Massive amount of current through a place with higher resistance means that spot heats up (just like incandescent bulbs glow because of sending a current through a high resistance thin wire which heats them up.)
This heat causes rapid uneven heat expansion of the metal causing glowingly hot bits to break off.
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