Many people think that because theoretically wool does not require killing the animals to get it, that it isn't ethically problematic. Never mind that the sheep I saw would soon be replaced with younger sheep, and the older ones would then be packed onto boats and transported live, amidst horrific crowding to some where in the Middle East, where they would be ritually slaughtered for meat.
I know that some people claim to have access to wool products from small farms where the animals are sheered more gently and never killed for meat. But keep this in mind; because of the existence of places like the one that I worked at, when anyone uses, wears or promotes using any wool to their friends, they are helping to normalize violence against other beings.
Being vegan is not just about diet. It is an ethic of non-violence and non-exploitation of others. This is why we don't buy things made of wool.