Because they have their own reason:
1. It's harder for them to tax the money, people have a way to cash out privately which make them can't maximize the tax, unlike stock, ETFs where everything recorded in centralized sites.
2. They're a country where most of the citizen are Muslims, Bitcoin is haram in Islam, hence they ban it.
3. They hate Bitcoin.
The second point isn't entirely true because I live in a predominantly Muslim country, but Bitcoin is still legal to use as an investment asset, except for its use as a legal tender, and perhaps most countries also prohibit its use directly as a legal tender. There are certainly reasons why most countries ban Bitcoin, but so far, many countries have begun to open up to Bitcoin, resulting in its widespread adoption. Taxes can even be deducted directly on exchanges when converting Bitcoin to local currency when cashing out.