Because wealth rapidly becomes illiquid as it increases in value. The capital of the ultra wealthy is intimately tied to physical assets in the real world that makes it difficult for capital flight to occur. They are wealthy because they own the supermarkets, the hospitals, and physical infrastructure.

An example of this is when the UK froze/seized Russian billionaire Abramovich's assets as part of sanctions, which included the Chelsea Football club. Abramovich (and the media) made a big stink about it, but was ultimately forced to sell.

The case for keeping the ultra wealthy around for their entrepeneurial innovation is inconsistent with broader economic evidence. Bell et al 2019 (QJE) show that although it is true that the young of the top 1% (again, not the ultra wealthy) are 10x more likely to become inventors, the actual causal mechanism is exposure effects, i.e. having strong peer networks.

This is something that is explicitly worsened by abolishing wealth taxes, which are well documented to increase wealth concentration and social mobility.

Who Becomes an Inventor in America? The Importance of Exposure to Innovation* | The Quarterly Journal of Economics | Oxford Academic - https://academic.oup.com/qje/article-abstract/134/2/647/5218522

I suggest you read Zucman's common wealth tax objections, which addresses most common rebuttals.

https://gabriel-zucman.eu/files/saez-zucman-wealthtaxobjections.pdf