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I'm not really sure I can properly articulate why, though, and really I'm not even sure I know why myself! (That said, though, it's not the same knee-jerk reaction of being against the selling of one's organs, since I'm not against that in the first place!)
I think it's because by setting a purchase price you're necessarily excluding those who can't afford it. Offering loans helps in that sense, except that now a) you're still necessarily excluding many who can't afford it, because there's no possible way you could loan the price of admission to every single person who wanted it, and b) you're all but creating indentured servants of the state, newly-minted "citizens" who must work to repay the state or else have their citizenship revoked and their poor asses deported back to where they came from (because I really can't imagine any other sort of collateral being used in this type of scheme).
I firmly believe citizenship to be a privilege that can indeed be revoked (e.g. the temporary revoking of said from jailed felons), but at the same time it's a basic right that it should be available to anyone, not only to those who can afford it.