Because any chunk of code that can see the instance of your class can also lock on that reference. You want to hide (encapsulate) your locking object so that only code that needs to reference it can reference it. The keyword this refers to the current class instance, so any number of things could have reference to it and could use it to do thread synchronization.
To be clear, this is bad because some other chunk of code could use the class instance to lock, and might prevent your code from obtaining a timely lock or could create other thread sync problems. Best case: nothing else uses a reference to your class to lock. Middle case: something uses a reference to your class to do locks and it causes performance problems. Worst case: something uses a reference of your class to do locks and it causes really bad, really subtle, really hard-to-debug problems.