Another reason to avoid having comments
To go with my previous thoughts about the purposes of comments, here is another reason that people might want to not have them on their blog: they eat your limited time.
In a sense, comments on your blog carry with them an implicit duty to reply; while you can skip this, it may look odd and cause bad reactions. However, comments that you write will probably get less of an audience than a new entry. So if you only have a limited amount of time to write things for your blog, your time is better spent not having comments and just writing entries.
How true this is depends on how much of your time writing comments takes up. While many comment replies can be written quickly, I think that sooner or later you do run into comments that need about as much work as an entry. Sometimes those can be turned into actual entries (I do this a fair bit, although that's partly an interface issue), but not always; sooner or later you'll get comments that need replies that are too specialized or not interesting enough to make decent entries.
(This also ignores the time required to moderate comments, getting rid of spam and other undesirable things. Depending on the nature of your blog, this may be a significant time sink itself.)