Take a common divisor $k$ of $a$ and $b$. That means that we can write $a=ka'$, $b=kb'$. Then, if $d=ax+by$,
$$d=a'kx+b'ky=k(a'x+b'y)$$
so we see that $k$ also divides $d$. Since $\gcd(a,b)$ is a common divisor of $a$ and $b$ (namely, the greatest), it also holds the property. Actually, the idea behind this is very simple: the sum of two multiples of the same number is also a multiple of the same number.
Note that $\gcd(a,b)$ is, hence, the least positive integer that can be written as $ax+by$, because every number of the form $ax+by$ must be a multiple of any common divisor of $a$ and $b$, and in particular, must be a multiple of $\gcd(a,b)$ so $ax+by$ can't be smaller than it (being still positive, of course).
Example: let $a=60$, $b=75$. The gcd is $15$, so $ax+by=60x+75y$ must be a multiple of $15$, because it is the sum of two multiples of $15$.
I hope this helps a bit.