Being classified as a loser in any given argument is probably the biggest one. You do not get a very positive response for admitting that you're wrong in the vast majority of settings. There's generally an expectation that being wrong is associated with fundamental problems and should be punished by suffering. Being wrong is already perceived as a state so bad that correcting yourself from it is only marginally beneficial. This creates a very negative association with being wrong and kills that incentive. Yet being able to say that you're wrong is a necessary prerequisite to changing your mind.

There's also a fairly high risk of actually changing your mind towards the more wrong conclusion. Anything you already believe is likely rooted in something relatively deep, like childhood experiences, experiences in general, and a long, involved chain of partially logical, partially emotional reasoning that you can't even remember most of anymore. The incoming "facts" are often disembodied, not actually connected to anything, and often not that hard to fabricate because of how disconnected they are.

Now take these two concepts together, and consider what an attempt at making a person believe something different from what they do usually looks like. They're going to be told some disembodied facts, given some rough evidence or appeals as to why those facts are true, and then told that the only reason they don't already agree with those fact is because they are dumb, mean, uneducated, or otherwise undesirable.