Letting them in means letting Hamas in, means destabilising your country and government which can lead to governments being overthrown, kings assassinated etc... Which has happened before.

They just don't want to get involved in a war that can be easily solved with the two state solution, instead of spilling over in the region, right when they're doing better. Also, you know why would they, when Israel is screaming for making a parking lot from Gaza, instead of letting civilians live there. They know those refugees will never go back. So, would you give up a piece of your country for them?

Aside from that, let's not forget that those countries already have accepted millions of refugees from the wars in the past decades and while Europe took in only a fraction of that (although most Europeans think they took in much more).

So, there's that.