The Code of Silence plus the knowledge that he hid the plot from the Feds. Remember, McVeigh wasn't trying to AVOID execution. He was actively seeking it. I also find it strange that he was strongly insistent that there was no John Doe #2. Let's assume there wasn't. In that case, McVeigh most likely would have played coy and indicated there was a John Doe #2 to fluster the Feds who would vainly search for someone that McVeigh would know was nonexistent.
Suppose this guy was in with McVeigh. What would be McVeigh's motivation to keep quiet?... and whatever you guys do - don't talk to Michael Fortier about this ...