I heard they disdained assassins because it wasn't considered honorable, and refused gallic offers of assassination on Pyrrhus or Hannibal, some enemy of Rome anyhow. Of course, I heard this on the forum only, no actual text to back it up, except maybe a lack of any word on assassination in my Roman history book.
Or maybe that just liked to leave that image to posteriority. Like the roman governor who supposedly dismissed Viriatus assassins with the sentence "Rome doesn't pay to traitors", after of course, they had betrayed and killed the man...