It's just because it's a product of what I see as a very cruel industry. Even if being sheared doesn't harm the sheep, it's still putting money in the pocket of the people who do. This probably isn't the place for this discussion though, there's a vegan thread if you're interested!
Do vegans object to wearing wool too? Sheep are generally quite content to get rid of it...
Rapha Archive sale had some surprisingly cheep long sleeve jerseys. No lanolin too...