They may have religious beliefs that are opposed to the idea of Halloween.
Or they might just be me. I don't do Halloween. We won't be doing Halloween. I've told DD this when she nags at me too (she's 7).
I'd let her dress up if the school had a Halloween Disco or something (which I actually think would be a good idea - the fun dressing-up bit of Halloween without the bothering-strangers-for-teeth-rotting-junk part). We just will not be doing any sort of Trick or Treating. Ever.