They should be glad fans are still choosing to throw octopi--by the end of the year the tradition may have morphed into the hucking of flaming bags of good poo.
Which makes me wonder: what on earth kind of damage do they think the octopus is going to do? Does Bettman really hate fun?
While I'd rather not see the tradition quashed, I suppose it's not out of the realm of possibility people/players with seafood allergies could be affected (potentially severely) by flying octopus parts, which is one valid concern I can think of. Considering that fans are already at the risk of being hit by flying pucks, broken sticks, broken plexiglass, getting hit by other fans, drunk or otherwise, etc, etc, it's understandable from a lawyer's point of view why minimizing the potential of liability in freak events is preferable to the meager marketing returns the league gets by tacitly endorsing the continuance of such traditions. And it does kind of reflect poorly on building/NHL security, when people can sneak crap in like that, which could cause for troublesome optics should something akin to a terrorist incident ever occur at LCA or another NHL arena.
Maybe they could do something where you declare your octopus at the gate and get to take part in some kind of octopus tossing competition in the intermission or something, find a happy medium between octopus anarchy and the no fun police.