Because they'll be able to produce a higher quality product by working with their own internally developed engine? One that could accomodate precisely what they wish to achieve with Persona 5 and one that could prove simpler to implement than a third party engine? One that could prove to be resourceful and accelerate processes when it comes to internal development for games past Persona 5?
The major problem is that they're going to have to port it to PS4 sooner rather than later, unless they really try to pull another Persona 4 and make 6 within two years of 5.