It is because the bottom ㅂ involves more forceful closing of the lips than the bottom ㅁ.

If you pronounce ㅂ the normal way and immediately move to making the ㄴ sounds,  the incomplete ㅂ comes out like ㅁ.

To prevent this and accurately pronounce ㅂ, you must give a slight pause after ㅂ, which of course nobody will do.

So [감사함니다] is the officially correct pronunciation for 감사합니다 (there's even a name for it - 자음동화-비음화).

This phenomenon can even be observed in English to some extent.

If you pronounce "hobnob" rapidly (and sloppily), for example, it can come out like "homnob" because of the same reason.

In Korean, bottom ㅂ is an "unreleased" kind of consonant (no trailing sound from the consonant), so this effect is amplified.

감사합니다 is correct. But you have to read: gamsahamnida because "p" before "n" should be read "m". It's a rule. I don't know why :D.