The usual answer is "the self-hosted options are worse to use and make people hate them". Mattermost is a prime example, it's really clunky and uncomfortable to use. I like Rocket Chat and have hosted an instance of it myself, but it's shot through with inconsistencies and annoyances that Slack just doesn't have.

The notion that self-hosted is more secure is curious, though. Slack's security team is almost certainly better than yours, for most--not all, but most--values of "yours". You might be the rare exception (I'm certainly not, and I build reasonably secure systems by habit, if only because I don't have the time or money to focus solely on a chat service), but I doubt it.