My guess is that at the time when Bloomberg's infrastructure was considering supporting a message queue, they surveyed existing solutions (mind you that this was a long time ago) and found them lacking for one reason or another, rightfully or not.

RabbitMQ was probably avoided because nobody wanted to learn Erlang.

Also, R&D had a lot of experience building message oriented middleware "from scratch" in a low overhead high availability way, so first instinct was probably to start hacking in C++.

Nowadays it might be the case that some teams within Bloomberg need the performance or would rather have a bespoke solution instead of spending on migrating to something else off the shelf.

Keep in mind that this is a company that has its own implementation of most of the C++ standard library.