My understanding is that it’s because Lemmy is lacking some moderation/admin utilities. Basically, a few of their members are getting threatened with violence or something and the only way to stop them getting messages sent to them is to de-federate (at least for a little while).
Their goal is to make their members feel safe. With federation, it’s not like you can just report a user and expect the admins to all act similarly—different instances and all.
Edit: As mentioned below I forgot a key point: They intend to re-federate once the tools are in place. This is temporary.