They want May to come up with a better plan for a "No deal" Brexit. To take a much harder stance against the EU in negotiations. THAT's why they voted against her.
I feel like this is going in a VERY different direction than is being implied in the comments here.
And let's be honest here: it might work. In the EU, in all countries where I can understand the language: France, Belgium, Ireland, the Netherlands there are artikels on the front page of the main newspaper about companies lobbying to force their governments to simply break ranks with the EU in case of "No deal": to have a trade pact with the UK ready to go March 29. In theory, that's not legal, but there is precedent. If the UK can get trade deals with the US (which is not going to be a problem), Ireland, Belgium, France and the Netherlands, the damage of a no deal Brexit will be limited quite a bit. A "fuck the lot of you. No deal !" approach ... it's not out of the question that they actually make it work.
Plus, you know, it's clearly what the majority of the voters want and in theory both the UK and these European countries are democracies. On would think that would make it simple.
And then there's the question of what happens if Juncker gets called on his bluff. AFD, 5*, Lega Nord and FN will certainly see their hand strengthened quite a bit if the UK blows up their EU membership and actually gets away with it. Talk about worst possible outcome for everyone.
The EU should say "ok ... voters decided, sucks, but let's make this work. Let's give the UK a fair exit and a fair trade deal". That is in the interest of everyone in the EU AND everyone in the UK ... with the notable exception of the EU politicians themselves.