Because the Quran offers exactly what Dio wants (peace, eternity, Heaven), but it requires the one thing he refuses to give: surrender.

If Dio read the Quran, he wouldn’t convert. He would see it as the greatest threat to his existence. He would likely try to destroy every copy, just as he tried to destroy the Joestar bloodline.

Dio wanted to achieve Heaven by conquering his fear. He says, “Peace of mind… is the result of a resolved mind. That is what ‘Heaven’ means to me.”