Mainly the large amount of existing right-of-way, and the fact that particularly above the north end of the Metro North coverage area the population does thin out, while running along the coast it really doesn't (note the presence of the Shoreline East line and the proposed Hartford line). My presumption is that at least on part of the line, you'll be piggybacking on the existing lines (and then splitting out to run parallel somewhere between Croton-Harmon and Poughkipsee). More importantly, though, much of the line runs near enough to the shoreline that you've got a number of stretches where it's city-railroad-greenspace-river or city-railroad-river. This would reduce the eminent domain takings needed (even if it might complicate the EIS picture), particularly on the southern end of the line (and I think that most proposals tend to either concede that you're not getting onto a new alignment until you get up into Westchester County at best, or throw a super-expensive tunnel project into the picture that forces the cost to balloon), and once you break out to the north you won't be cutting across as many highly-populated areas.
Putting it in plain English, I think it's probably easier to substantially widen the right-of-way on Metro North (probably to a largely rebuilt four track setup), split off above that, and acquire the line through western MA than it is to acquire entirely new right-of-way inland in CT unless you go way up in the state (to the point that you may as well link to Albany and gain that market at some point). There will still be speed limits on parts of the line (probably in the 125-150 MPH range, and possibly lower...unless you're doing a superdeep tunnel, there's only so fast you'll be going in Harlem, for example.
Of course, the politics of this line would be a mixed bag: On the one hand, you'd only have to keep two states on board instead of four; on the other, you'd only have two states working with you in Washington instead of four.