There are obvious reasons for not eating a $5000 prize fish, but there are plenty of koi in the wild. Apparently they have lots of bones and taste crap, but that’s true of plenty of fish and a good recipe can make up for anything. I therefore think there might be another reason.
Koi tend to live in slow moving or stagnant water, so I wonder if they particularly accumulate diseases, pollution and/ or parasites. There’s a story that eating the koi from “Abraham’s Pond” in Sanliurfa in Eastern Turkey makes you go blind and while that is unlikely to literally be true, such culinary taboos tend to be based on some kind of health risk (as, apparently, with pork in Arabia).