Multiple reasons. 10 years ago Dortmund won two CL titles in a row and reached the CL final in the third. They beat Bayern for Reus' signature and the most promising German talent since Franz Beckenbauer, Mario Götze, said in an interview that he could imagine ending his career in Germany. The team was stacked with world class players in many positions: Besides Reus and Götze, there were Hummels, Lewandowski and Gündogan. Then, shortly before the CL final, it became public that Bayern had signed Götze for a laughable amount. As if that wasn't enough, they lost the final and then Bayern bought Hummels and Lewandowski in the following two seasons and constantly belittled the club publicly. So basically, when they were about to enter the top tier, they were shown their place and ever since were bullied by top clubs that signed their best players, at times with very questionable methods (Mkhitaryan, Dembele, Aubameyang). But they grew organically, improved season by season, always with the objective in mind of becoming one of the best clubs in Europe.
Now they're about to enter the top 10 European clubs regarding revenue. They've beaten one of the biggest clubs in the world for the signature of Haaland and amassed an incredible amount of talent with Sancho, Haaland, Reyna, Bellingham and Moukoko again. Now it looked like they'd lose Sancho in this window and logically Hoeneß had to taunt them with that, claiming that they'd never become a top club this way. Most Dortmund fans had made their peace with Sancho leaving but were annoyed with United's messing around. Then Zorc and Watzke drew a line and a real spirit emerged. Many Dortmund fans think that they are realistically able to hold on to the current bunch of talents for multiple years. It was a sign that they wouldn't allow top clubs bullying them any longer. Sancho has sort of become the personification of all that.
If they sell Sancho now, it'll not be recognized as a necessary thing but it'll be received as if they trolled their fans on purpose. They would have to bring up a very, very good reason for that. If they just accept the fee that was initially communicated +10m or something like that, this won't go down well. It'll be perceived as confirmation of their "minority complex". Especially now that they know that Sancho is contracted until 2023 and they could still sell them 2022. This will receive a shit storm worse than Götze and Hummels got, only that it is now directed towards the front men of their own club. Watzke and Zorc know this very well, so there would've been absolutely no point in ruling out a Sancho move that strictly if they didn't mean it. They could've just said a standard phrase or something like that and Dortmund fans would've been like "yeah, that's negotiation tactics but realistically there's no way he's staying".