1. Saving the best for themselves
Very often there are certain plum jobs that the boss gets to decide who does, which they often reserve for themselves. Bosses who do this are losing out on several important opportunities. Employees will go above and beyond for bosses that go above and beyond for them, but by reserving plum assignments for themselves, bosses are setting the example of looking out for #1 and that is the example employees will also follow. Instead of reserving the best jobs for themselves, they can delegate the best jobs as a reward for a job well done in other areas.
2. Getting out of the "master" mindset
When you were building your business, you probably had to spend a great deal of time learning, researching and to some degree mastering certain skillsets that didn't come naturally to you. Because of the time, energy and effort you put into mastering that skillset, it can be natural to want to get the most "bang for your buck" so to speak, by continuing to do those tasks or set of responsibilities long after there is someone else available to do them that you could easily delegate them to. Delegation, however, frees you up to focus on the thing that you actually do much better, which will go far further towards building your business than continuing to do the things you are not naturally gifted at.
3. Lack of trust that tasks will be performed effectively
Too many times we can fall into the trap of believing that if you want something done right, you have to do it yourself. This may be true of many things, but a boss literally can't do everything themselves - that's what they have employees for. While it is important to have a certain number of things done up to a certain standard, bosses also have to learn that not everything has to be done their way to be done effectively. Because of how hugely important the ability to delegate is, it's also important to have well-trained employees that can take on important tasks and do them well. One of the best things you can do for yourself is to train your employees well so you can delegate almost any assignment in a crisis and know it will be handled effectively and efficiently.
4. Fear of someone taking over your business
No matter what position you are in, there is always someone younger and hungrier coming up behind you. Long is the list of founders of companies that have eventually been squeezed out of their own company by a former subordinate. However, no matter where you are, there is always room for advancement, whether it's expanding to another location, moving into a higher position or even building another business entirely.