Because they know they can’t be ultra-rich by investing in mutual funds.
Mutual fund is a much conservative way of investment. It is much less risky. However, that security comes at a cost of higher returns.
This appeals to the middle-class and lower-high class individuals whose per capita income isn’t very much.
Besides, mutual funds exist, in the first place, to appeal such kind of conservative investors who want more security for their money but at the same time demand more interest rate than what their banks offer on a savings account.
(Courtesy: Money Control)
So, in short, mutual funds isn’t exactly devised to cater to the ultra-rich people. So, they don’t invest in it.
Moreover, you must also understand that investing in mutual funds cannot make you rich. It's only going to make you money to a point. Over-expecting in return even when the market is booming would be nothing but naïve.
These are some reasons why ultra-rich people do not invest in mutual funds.
In addition, here's another thing…
Understand what mutual fund really is. The mutual fund firms get a group of people to give them their money. They pool a substantial amount of money and then invest in different securities, including stocks, money instruments, bonds and more.
(Courtesy: Wealth Clock Advisors)
Do you think ultra-rich people need to pool money? They already have enough wealth to invest in these assets individually and independently. They don’t need to be a part of mutual funds. They have enough money to go about alone in different asset markets.
This is another and the primary reason why ultra-rich people do not invest in mutual funds.
But that being said, this doesn’t mean that they all don't do it. A few of them do invest in mutual funds. This is usually done for the sake of diversifying their portfolio.
Hope this answers your question.