It's because the "th" sound doesn't natively exist in the language. It's REALLY hard to rewire your brain to both hear and pronounce the sounds in langage that you didn't grow up with. So you appropriate the sound that to your brain sounds the most like the sound you heard, and for french people, "th" because "ts". Similarly, americans in particular have a REALLY hard time with the french R's, both the rolling r and the guttural r. And you know, the stereotypical "asian" who can't distinguish his R from L does actually have root in reality - for instance in japan, there's no L or R sound, but there's a sound that shares characteristics of both L and R and kinda sounds like an inbetween sound of them - and thats why they don't really hear the difference between an L and an R.