If someone is engaged in a criminal enterprise and has their money in your country, they are likely to invest money in criminal enterprises in your country. Or by allowing the criminals to operate in your country, you allow them to make connections with local criminals. E.g. they might sell arms to drug dealers. It's the Peter Parker principle. If you ignore crime when it doesn't directly affect you, you may find that it starts affecting you.
It might even be simpler than that. Perhaps the money always was the result of crimes locally. So even though it's Russian nationals, the criminal activity that it supported may be local to you.
They also may want to avoid strengthening an unfriendly regime. Many of the Russian oligarchs operate openly and legally in Russia. If you allow them to engage in criminal activity in your country, it weakens your country and strengthens Russia.
Some sanctions deliberately target Russian oligarchs so as to increase the pressure on Vladimir Putin. The idea being that he may be able to ignore problems with everyday people, but the oligarchs have his ear directly.
Money laundering may allow the evasion of sanctions. Start with Russian money. Convert to drugs or weapons. Sell in the United Kingdom (or whatever country). Now you have British Pounds and may buy anything that British Pounds can. Ship that to Russia on the boats that brought drugs or weapons into the country. Again, this weakens your country while strengthening Russia (or whatever country).