A lot of this really applies to all games, not just single-player ones.
Computer versions have limited interfaces: small screen, limited controls.
This is the biggest reason for me. It's pretty much impossible, with current technology, for a computer game to provide a comfortable view of a table-sized board and components, or for it to make it really easy to grab a small object out of that landscape. It's a bit of an extreme example, but take a game like Arkham Horror (which can be played solo in various ways). Imagine dealing with that on a computer screen, even a huge one. (There's actually a Vassal module for it - the interface definitely could be improved a lot, but it still gives you an idea of the issues faced.)
Physical versions are more intuitive and satisfying.
Even when things are of a size that's possible to fit on a screen, I usually find that "physical interfaces" much more comfortable. There's just something about physically seeing and moving objects, and having at least a little bit of a third dimension to them, that makes it a lot easier on my mind. I'm often frustrated by a feeling that things are somehow trapped in two dimensions on a screen.
Physical games are easier to customize.
If there's for whatever reason an issue with a game, it's a lot easier to fix it by drawing on a card or adding some more tokens if it's a physical game, or just changing the rules in a way that a computer version might not let you.
Board games have been optimized as board games.
There's a bit of a circular nature to the question. These games were designed to be physical, trying to take advantage of everything there is to offer in the format, and to minimize disadvantages. Electronic games are a different format, and hypothetical optimal games in that format (even confining ourselves to a similar category, turn-based things, and so on) will not end up being the same games.
I'm not trying to suggest that these reasons always justify choosing a physical game - there are a lot of things computers can do that physical games can't (e.g. instantly shuffle an enormous deck) - but that seems to be outside the scope of the question.