Basically dumb culture. Two main reasons:
If you’re a man, there’s sort of an unspoken ethos that you’re supposed to be able to “improvise” and catch a professionally hit foul ball bare-handed with no warning. If you’re a woman, this gets even worse because you are either bringing a baseball glove, a tool in a de facto man’s sport, or a softball glove, which is a tool in a de jure wrong sport.
Foul balls that land close enough for you to catch are very rare. ML stadium seating areas are huge, and even if you are in “prime” territory it’s pretty unlikely that a batted ball will even land in your section on a given day. So by bringing a glove you communicate a sort of naivety about the narrative of going to a ballgame, or ignorance of the odds.
A glove is not a tool of self-defense against a batted ball. You have a much better chance of dodging (at least with your head) an unexpected line drive than you do catching it. If you watch a pitcher react when a line drive comes right back at them, they do not care at all that they’re wearing a glove. The reflex is to duck away as much as they can and throw their hands up to protect their head. If they catch the ball, it’s basically on accident. The home plate umpire wears a helmet and chest protector, not a glove. Softball pitchers wear masks. Some mlb pitchers are wearing protective caps. The glove is to make playing the game easier. It is not safety equipment.