Why do you think Morris tries to burn the paw?
Sergeant-Major Morris attempts to burn the dried monkey's paw in order to prevent harm from coming to anyone else. Morris is aware that the paw or, more specifically, the spell cast upon it by "an old fakir" who was intent on demonstrating the power of fate, carries with it what he refers to as magic. When those with him become interested in the paw, Morris seems to want to protect them from it. Not only does he throw the monkey paw on the fire, but he also refuses to make a gift of it (even if they keep it) and warns them to leave it alone.
"Better let it burn," said the soldier solemnly.
"If you don't want it, Morris," said the old man, "give it to me."
"I won't," said his friend doggedly. "I threw it on the fire. If you keep it, don't blame me for what happens. Pitch it on the fire again, like a sensible man."
The other shook his head and examined his new possession closely. "How do you do it?" he inquired.
"Hold it up in your right hand and wish aloud,' said the sergeant-major, "but I warn you of the consequences."
In addition, Morris seems to be acting out of anger or bitterness when he throws the paw into the fire. As he remembers his own wishes, he becomes pale and shaky. Morris admits that he doesn't know if he would make his wishes again if he had a chance to do it all again.