As posited above: because of conscience?

Because of fear of getting caught dropping a suitcase?

And, of course, I suggest one go to more primary sources. The only one we really have is Fernande Olivier, who said (translation):

> After a hastily swallowed dinner and a long evening’s wait, they set out on foot around midnight with the suitcase; at two in the morning they were back, worn out and still carrying the suitcase with the statues inside.

> They had wandered the streets never finding the right moment, never daring to get rid of the suitcase. They thought they were being followed and conjured up in imagination a thou­ sand possibilities. . . . Although I shared their fears, I had been watching them rather closely that night. I am sure that perhaps involuntarily they had been play-acting a little: to such a point that, while waiting for “the moment of the crime,” although neither of them knew how, they had pretended to play cards—doubtless in imitation of certain bandits they had read about. In the end Apollinaire spent the night at Picasso’s and went the next morn­ ing to Paris-Journal, where he turned in the undesirable statues under a pledge of secrecy.

I read in all of these sources a lot of ambiguity about why they didn't. You find certainty, perhaps-- I don't.