Because Thad is like James Eastland and John Stennis before him; he’s been in office so long that voting for him is almost a reflex act, and the GOP-e believes (correctly) that Cochran would be a slam dunk in November. If you’re trying to re-take the Senate, you need every “sure” win you can muster.
There’s only one problem with this narrative. If you look at vote totals, there were more than twice as many votes cast in the GOP primary compared to the Democratic contest. Travis Childers, the Dim nominee, is a joke; he managed to sneak into Congress for a single term a few years ago because the GOP couldn’t get its act together in Roger Wicker’s old district in northern Mississippi.
If the Mississippi GOP had any leadership, they would have run Thad, with the stipulation that he resign within 18 months of starting his new term. Then, Phil Bryant could appoint his successor, and Chris McDaniel would be at the top of that list. Unfortunately, the Mississippi branch of GOP-e would probably choose someone else, such as Haley Barbour or one of the sitting GOP congressmen.
Maybe that is part of the reason that Mississippi falls behind most of the other states.