Robert Konki, the producer of Sekiro: Shadows Die Twice, revealed why the game won't have multiplayer in an interview for DualShockers. According to him, the decision was made in connection with a number of restrictions, which the multiplayer component imposed on the development team.
In case of multiplayer, when creating a new boss, FromSoftware would have to take into account that two or more players could attack the boss, but these players would have completely different characteristics, abilities and equipment, not to mention all sorts of classes. This would make the development really difficult.
As a result, the developer decided to go in a direction that would not limit its vision of the game, so the team focused entirely on the single player mode. In this case some boss fights resemble a complex puzzle rather than a classic battle with an overpowered opponent from the Souls games.