If capillaries were any thicker, then the diffusion of oxygen and nutrients would be slower, and the diffusion of waste products would be more difficult. This could lead to a build-up of waste products in the tissues, which could damage the cells.
In addition, the thinness of capillaries helps to maintain a high blood pressure in the capillaries. This is important because the high blood pressure helps to force the oxygen and nutrients out of the blood and into the tissues.
Finally, the thinness of capillaries helps to prevent blood clots from forming. This is because the blood platelets that are responsible for forming blood clots are too large to fit through the capillaries.