It is because that is how the untrained ear of non-natives hears soft consonants
In fact, медленно does not have any "y" sound! But "м" and "л" are palatalized: ['m
je-dl
jɪ-nnə], where both [m
j] and [l
j] are palatalized ("soft") consonants. A soft consonant is a single sound, it does not really contain "y", but it is pronounced with the middle part of the tongue raised towards the front palate (during all the time of its pronunciation, not just at the end phase!).
For more details, see hear:
Russian phonology - Wikipedia, the free encyclopedia
The contrast between palatalized and unpalatalized consonants is important in Russian, but English lacks this feature entirely.