A variety of reasons.
I'm a firm believer that an air filter shouldn't require the addition of a sticky substance in order to filter to maximum efficiency. I also believe a company should have no problem posting the efficiency of their products, especially products that are meant to protect your engine.
I like the AEM products because they have been independently tested to filter to 98%+ efficiency in the 1 micron size. I did a TON of research before I made my last purchase, and I wasn't able to find any results from K&N on their efficiency or micron rating. I recognize it is personal bias and it probably works "just fine" for most folks.. But I'm not spending my cash with a company that doesn't provide specifications.
I've also seen the effects of an over-oiled air filter on mass air flow sensor. I understand it is 99.9% user error, but you cannot say with 100% confidence that no oil will be pulled into the intake tube no matter how lightly oiled the filter is.
Granted, what I've said is highly biased and much is my personal opinion (and nothing more), but I still would prefer a non-oiled filter.