Well... why, we don't really know, but there's a few hints.
+Apparently he and Sakic haven't been getting along- a report says they haven't spoken since the draft, and not often before that. That's a problem.
+Ownership turned down nearly every opportunity to go after free agents Roy wanted to try for, instead preferring to stick with the roster they already had. (Considering how poor the team has been the past couple of years, Roy may have had a point here)
+Sakic just left on vacation, and suddenly Roy quit while Sakic wasn't around. That might be coincidence, but hard to believe.
+Interestingly, some reports say that he may very well have let the Avalanche know about his decision the way we all found out- by social media, rather than letting his employer know about it beforehand. If so, that's utterly baffling- and probably will be remembered by other teams in case Roy wants to coach in the NHL again someday.
All in all, the Avs might be better off here. That 2014 team was pretty fun, but had deep flaws. Those flaws became fatal over the next two seasons, and there's not much reason to think it will be better this year. The grumbling back home has been noticeable, and there's a strong belief that Roy would have been offered up as a sacrifice to buy time for Sakic if the team struggled. Now that safety net is gone for Sakic- if the team struggles, he may be the fall guy.
Question though... who takes over? Most teams have already snapped up available coach candidates, no team is going to let an assistant coach walk mere weeks before camp starts... the only NHL-caliber candidate that comes to mind at this hour for me is Bob Hartley, who is pretty unlikely to ever want to coach in Colorado again. So... now what?
What a mess.
