From my own answer on M&TV
According to the directors it's because...
Those items are part of their identity
Avengers: Infinity War's directors Anthony Russo and Joe Russo (who also directed Captain America: The Winter Soldier, Captain America: Civil War, and Avengers 4) revealed why objects like Spider-Man's suit, Star-Lord's clothing, and other material or weapons being carried or worn by heroes disappeared with them after Thanos snapped his fingers. According to Joe Russo, the objects faded with the heroes and other victims of Thanos erasure because they are "part of their identity."
Anthony Russo chimed in: "Whatever was elemental to somebody’s presence went with them."
Whether this is logical in-universe is open to debate but out-of-universe it make sense.
Firstly this would have involved another round of complicated SFX in a movie already packed with fiddly technical requirements.
Secondly it would have looked a little messy, and possibly a little silly, on screen if leather and spandex suits, helmets, clever gadgets and all that lovely Wakandan metalwork all clanked down.
The Russo brothers do not really make a compelling argument for their vision in these scenes, but they definitely made the correct stylistic choice.