Because it is part of an Auto Scaling group.
According to AWS Support, it is normal behavior to Terminate an instance when you tell it to Stop if it is part of an Auto Scaling group. My Termination Protection was set to Stop but apparently, it overrides this setting.
In order to Stop an instance that's part of an Auto Scaling group and NOT Terminate it, you must Detach it from the Auto Scaling group before stopping it:
http://docs.aws.amazon.com/AutoScaling/latest/DeveloperGuide/detach-instance-asg.html