Different reasons for different people.
For some, they fear recrimination from their union bosses if the pollster is working for them somehow.
If the person asking the questions is black, they may be more likely to say they are undecided, so as not to offend.
Some just won’t admit to anyone that they’re not voting Democrat, but won’t vote for Zero.
or just to be contrarian, it could just as easily be the people not wanting to admit the reverse.