Well, if one can't imagine why a vegetarian wouldn't eat insects, one needs to expand the imagination. While not speaking for all vegetarians, one of the reasons I don't eat animals or insects is that I hold to the idea that no creature should have reason to fear me. Sure, insects get killed in the harvesting of plants, but I don't harvest plants for the expressed purpose of killing insects.

As with most things it is typically more complicated than "here's a single reason, making it easy for you to mount a counter argument that you think quite clever."