Because the library is more likely to have their computers controlled tightly: they may keep a record of who requested to use a computer, use some kind of logging proxy, keep a copy of your ID, and you leave finger prints etc.

Also, a library may not let you install the tools that you need. If you bring your own laptop then you can do whatever. Also, a busy coffee shop offers more anonymity than a library most of the time.

Additionally, explaining why you went to a coffee shop may be easier than explaining why you went to the library (if you are like most people). Having to explain why you diverted from routine is what gets you caught.