Because when you get caught by a cop you have a chance to talk yourself out of it / get a ticket.
Getting robbed by a rebel you may have a chance to get out alive and talk a bit.
Getting caught by a bh is straight to jail and no fun usually.
But on the bright side, as a bounty hunter you can be justice! You can be Batman! The hero Altis needs and deserves, but doesn't want.. at all.