There are multiple reasons depending on who you ask and the specific instance:

• Privacy - Meta has a really bad track record of user privacy. There is the worry that federating with them will result in them scraping user data from users (which IMO is a bit silly - Meta can and probably is scraping all the available public information anyway, defederating doesn't really fix that).
• Moderation - Meta is notoriously bad (compared to Fediverse servers) at moderating their content. Admins and mods don't want to have to spend a lot of time dealing with trolls coming from Threads.
• Terms of service - I've not looked into it, but I assume that Threads have a strict acceptable use policy on content on other instances, which presumably they enforce unilaterally. Instance admins might not want to deal with complying with that, so just don't bother federating at all.
• Ideology - "The fediverse should not be influenced by a company!" Not all instances are like this, but there are some that see the fediverse as a statement against capitalist greed and megacorps.