This isn't unique to the Premier League.
Any team is unwilling to sell to teams in the same league for any price. It's seen as strengthening their own direct rivals, especially by the fans.
It seems more pronounced here because there's so much money available, meaning the price gets ridiculously inflated to stop this strengthening of direct rivals. Also because the Premier League is seen as the best league in the world, and is English speaking (becoming more and more a universally learned language), meaning foreign players are far more willing to move here than the other way round.