Some things are too terrible to consider. If the Jews of Sighet were to believe what they are told, they then have to consider both that the same might happen to them, and that they perhaps have some obligation to take action. It is hard to want to disrupt your life; sometimes it is easier to pretend ignorance, or hope that what you are told is not true, than to face a reality that will change everything, for everyone you care about.
As the above poster stated, some things are too horrible to consider. If they believed the warnings of Moshe the Beadle, they would have been forced to take action. It was easier to dismiss his warnings as the ramblings of a madman and ignore him. This is, perhaps, one of the saddest parts of the novel. Many lives may have been spared if they listened to the warnings, but it was just too difficult to believe.
You also have to take the source of that information into consideration. To the members of the community, Moshe was a homeless man, and therefore lacked credibility...he may have been well-loved by Elie, but not necessarily by all.