Because it's a messaging service you don't have the control of, first and foremost. You don't control the Telegram bot as you control the mixer's site. Someone else is liable for the operation and privacy policy of Telegram, and you're forced to go with their way, which I find it unreasonable taking the fact that you're a mixer. As a customer, I expect you to be trustworthy. If you have to rely on the trustworthiness of third parties, the fish stinks from the head.

Secondly, Telegram isn't privacy friendly. It requires you to register with your real phone number. You can't use temporary phone numbers, and if you do find one that wasn't used before, it can be reused and some stranger can gain access to your conversations.