It's because the parlament told them to. Divesting in coal is a political move stemming from environmental concerns. At least officially, I think some parties supported the move because Norway doesn't export that much coal, and this could potentially increase gass and oil revenue.
The European oil/gas companies all support a carbon tax for the same reason. Coal is such an appallingly bad fuel that a carbon tax would kill it (even faster) and gas would replace it in large part.
