Most MIs are caused because of a small embolus that ruptures from an atherosclerotic plaque and lodges into one of the smaller transmural/subendocardial coronary arteries. It makes sense that if thrombolysis were attempted this embolus would 'dissolve' and blood supply to the most ischemic myocardial territory would be restored. But if PCI is performed, it will not do anything to the distally lodged embolus that actually causes the ischemia and infarction!
One more variable I can think of is that an exposed plaque could be releasing vasoconstrictors like endothelin, substance P, but I'm not sure if stenting actually stops that. So, why is primary PCI now being favored over thrmobolysis (if it is, that is)?