My guesses;
#1 I might be talking about a different flight schools here... If you're referring to "ATP" flight school in Jacksonville, FL, I believe the owner of that ATP flight school also is financially behind Phoenix East Aviation and some other flight schools. PEA is an extremely international school. The owner attempts to deliver a good flight training service to the entire area, and may see his schools as one large operation, each focusing on different market segments.
#2 As before mentioned, the beuracracy that comes with foreign students with immigration and TSA approval, requires someone at the school handling all the paperwork. Although the fees are paid by the student, it is still an expense for the school as they actually have to employ a person to manage the communication with the government.
#3 It is a risk if they should end up being the flight school that trained a foreign terrorist, although the responsibility is shared. Some people are more afraid of foreigners than others. Thats just the way it is after 9/11.
#4 Also, looking at atpflightschool.com its easy to see that most of the programs are tailored toward ratings and flight operations that are most usefull to american pilots/people with green card and who are elligible for whatever security checks the major airlines may require. So assuming that most of their customers are americans, it is a bad investment for them to involve themself with a few foreign students, because of the expenses mentioned in #2.