There are both advantages and disadvantages to participating (or not participating) in Kindle Unlimited. Ultimately, the decision depends on each author's individual goals and needs.
Advantages of Not Joining Kindle Unlimited:
Reaping full royalties from book sales: When you aren't on Kindle Unlimited, you keep all of the royalty income from the book's sales - there's no set fee, so you don't have to worry about "leaving money on the table" by not joining.
Flexible pricing: When you aren't in Kindle Unlimited, you're free to set whatever price you'd like for your book. This allows you to set higher prices for bundles, special promotions, etc., or simply keep your book in a premium price range.
Being eligible for promotional tools on Amazon: If you opt-out of Kindle Unlimited, you may be eligible for new promotional tools like Amazon Charts, KDP Pre-Orders, etc.
Disadvantages of Not Joining Kindle Unlimited:
Miss potential readers: If your book is not on Kindle Unlimited, you miss out on readers who are only interested in books enrolled in this program.
Lower visibility: Being on Kindle Unlimited can increase visibility, while not being part of the program can decrease visibility, since Amazon tends to favor books that are enrolled in the program.
Limited promotional opportunities: Authors who are not enrolled in Kindle Unlimited can only do targeted (and limited) promotional opportunities, as opposed to the wide array of promotions available to KU authors.