For some, it's because what they write doesn't fit in the NY box (I'm one of those). They're good writers, but their stories aren't considered marketable by industry standards.
For others, they are traditionally published authors who've gotten their rights back and are re-issuing their back-lists (often with the edits they wish they could've made the first time around), giving old favorites a 2nd life with a new audience.
Then there are those who are all about the money. They're tired of being paid slave wages for their hard work. They'd rather be making 70% on their e-books instead of the industry standard 15-17% traditional publishers offer.
But for many, myself included, it's all about control. Authors are sick and tired of NY telling them what to write. They're frustrated when they want to write a WWII romantic suspense and their editor pats them on the head and says, "No. Go write another Regency historical like a good little author. After all, NY knows best." Or they're angry when they've invested years developing a series with compelling characters and a detailed world only to have NY say they're not interested in publishing the last book. Authors feel helpless because they have no control over their cover design. "Who cares if the model is blonde and your heroine is a brunette? Marketing says blondes sell more books so we're going to use it." Heads up, NY. Readers notice this stuff and often blame the author for it.
So for myself and many other writers out there, going Indie is about taking back control. Writing is a creative process. It shouldn't be restricted by anything but the author's imagination.