Because two key parts of the open source definition[0] are that the license "must not discriminate against any person or group of persons" (criterion 5) and that the license "must not restrict anyone from making use of the program in a specific field of endeavour" (criterion 6).

[0] https://opensource.org/osd

The same reason as to why you couldn't forbid military usage or commercial usage while still remaining Free Software.

"The freedom to run the program as you wish, for any purpose" also applies to entities such as the EU. If you forbid it from using the software, you compromise this freedom, and thus aren't Free Software.