It's similar to why libertarians tend to favor letting economic bubbles burst over having the government intervene. There are widespread resource misallocations and the sooner they get worked out the sooner resources can be put towards productive uses.

Another argument is that government regulation is immoral and as a matter of justice it needs to be repealed whenever there's an opportunity to do so.

I would also wager that Milei is planning on doing more throughout his term, so it might not even really be "shock therapy". There's a lot of government overreach to undo and even spreading it out over four years would be radically fast change.