It's likely a classic case of control issues tied together with the mentality of "why pay a middle man".

In other words, the lack of transparency and control over your inventory scares them, and they believe they can sell it for more than you can...

It also might cannibalize their existing ad sales if their advertisers can go through the exchanges, as well as possibly hurt their brand equity, and create the impression that their ad inventory is worth less than they sell it for directly.