There are a couple of answers to this. The first is that you have to look at newtonian gravity, its an action at a distance force. This means that the theory is a static theory and cannot describe how the force changes when something is moving. This was one of Einstein's motivations behind his formulation of GR. GR on the other hand is a dynamic theory with fields much like maxwell's equations. So the short of it is, to comply with special relativity, gravity must propagate at the speed of light.
The second answer involves a lot more math, but follows the exact same derivation for the speed of a electromagnetic wave. First Einstein's equations must be linearized since the full non-linear equations are a bit tricky to solve analytically. Next you can do the same thing as in an EM wave and make a gravitational wave(there are some subtleties here that I'm omitting) and you find a wave number k. When you plug in the right constants, the speed of the wave comes out to be c just like in the EM case.
In light of this there are actually a couple of theories that use different values for the propagation of gravity. I don't know any details, but I have heard arguments that GR still holds true under these situations.