Could be many reasons not to.
Shoot it down and it detonates an emp device.
Crashes to the ground and detonates.
Crashes to the ground and releases chemical or biological weapons.
Or maybe they want to recover the payload somehow to analyze the contents.
Or China, Ukraine, Biden's DS puppet master's are doing a big anti American circle jerk and they are gathering data to plan an imment attack.
I'm sure they have a very good idea of what it is and what it is doing, they aren't going to tell anyone.