I'm assuming you are talking about the bag of strong wing which he got from Aelous.
I'm not entirely sure but these are some points which may be the reason:
- He had a reputation for being crafty and sly so they might have thought he was lying.
- His ego, he thought it was his reward and power and didn't want to share it with anyone.
- He thought it may be dangerous because the air was very strong and hence decided to keep it to himself
- He thought he shouldn't tell anyone because a god gave him the bag.
- His men may argue and cause problems if they found out about the air.
Hope this helps, have a great day <3