For me, it's the same reason I don't shop at Wal-Mart. I don't like Epic as a company in general, so I don't want to spend my money there. I'll take their free games since it's easy to do, but I don't want to support them with my money.
I will also say their introduction to the market made a lot of people upset when they came out of no where saying a bunch of upcoming games would be exclusive. This also caused issues for some people as Epic supported less options for purchasing games, which many PC gamers rely on in different areas of the world. So it went from folks expecting to purchase a game on Steam with their preferred way to purchase a game to literally not able to purchase a game on Epic.
For me, it was a minor issue, but a game I had been looking forward to playing through Game Pass PC was made exclusive at the last minute on EGS and that really soured things for me. It was before Game Pass was officially supported on PC, you could just play a handful of games using the Play Anywhere feature. But yeah, that annoyed me a lot.