It is caused by the wettability of the surface of the nanoparticles. For naked particles this will be determined by the properties of gold but, as Daniel mentioned, it is likely that there is a capping agent, in which case the wettability will be governed by the properties of the capping agent. From this point on I will just call this the solid.
Collecting at the interface
Depending on the surface energies between the solid and water (sw), water and oil (wo) and solid and oil (so) you can have 2 situations both with their own extreme case. We can understand which of the three by looking at the famous Young's equation$^1$ :
$$\tag{1} \gamma_{so}-\gamma_{sw}=\gamma_{wo} \cos \theta $$
where $\theta$ is called the contact angle and in this case I have defined it through the water phase as shown in the picture below.
If the surface energies are such that a high contact angle occurs then the solid particles will be mostly on the oil side of the interface (situation 1). But given the surface energies it is still beneficial (energetically) to have some contact with the water, hence the angle. If the surface energies are such that $\cos \theta < -1 $ it means that there is no longer a contact angle and it is preferable for the solid particles to be completely submerged in the oil.
Situation 2 is exactly the opposite, the solid 'likes' the water resulting in a low contact angle. Here again an extreme case can occur in which the equation requires $\cos \theta > 1$ which means that the particles will fully submerge in the water.
Because many liquid-liquid-solid combinations have at least some contact angle (i.e. not 0 and not 180) the particles tend to collect at the interface of the two fluids.
Agglomeration
The reasoning for whether agglomeration will occur is in fact similar. Here again you will look at the surface energies and determine whether it is energetically favorable to have reduce the solid-liquid area by making solid-solid contact or whether it is favorable to have the solid in contact with the liquid. Capping agents are typically designed to repel themselves thus making sure that agglomeration doesn't occur (because it is usually not desired)
1: note that the original essay doesn't contain the equation in mathematical form, only in wording
