Jets goal is to keep Glenn from leaving the building [Multiple HC & GM Candidates tells ESPN’s Cimini all indications point to Glenn]

Saint Greg said

It keeps him from using us to get more money from the Jets. I don’t want him so in my opinion it also benefits the Saints.

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Keeping him from using us to get more money from the Jets gives the Saints zero benefit. It's just petulant. It will also make it easier for the Jets to sign Glenn, while also creating an unnecessary poor relationship with Glenn, which is detrimental to the Saints in the long term.

So again, apart from indulging some petulance, there's zero benefit to cancelling an interview.