Because that might hurt Trump's own business interests: http://www.nydailynews.com/news/politics/trump-muslim-ban-ex...
Saudi Arabia is a close ally of the US. That's the really horrific truth, and that's why Trump has business there and not in countries which the US is less friendly with.
This is why Trump's refusal to divest himself from his businesses is an unacceptable conflict of interest even if he insists it is fine and there are no grounds to question it.