Why should you not wear denim when hill walking or mountain climbing?

Do you mean denim jeans? If so, although denim is thick and fairly warm (when dry!) it is restrictive for movement when climbing. Also, the wind blows right through denim which can cause exposure. But the worst thing is that when denim gets wet it becomes extremely heavy. If you fall into a river or steam, the weight of wet jeans is enough to pull you lower down into the water and makes swimming to safety almost impossible. Many people drown simply because they fell into water while wearing jeans. Another dangerous thing to wear in water is a thick woollen jumper.