I was in Air Defense. You do not know what that thing is carrying. At that altitude, shooting it down means parts will spread in an extremely wide area, and you really do not know whether something will land on the house, car etc. If it had any propulsion system to make certain corrections in flight, you are risking polluting drinking water wells etc.
Another thing, this was not carrying any weapons. So, from an intelligence standpoint, you really want to study it or, even better, attempt to take control of it.
From my understanding, they managed to jam its signal immediately and study it.
Shooting it down over international waters would be a bit tricky legally. They shoot it down where the water depth is 47ft. SHould not be a problem to retrieve parts.