Depending on your new cat's history, it could be a variety of reasons. Again, is this a declawed cat? Is it an older cat? Some cats simply do not like to be held (much to our dismay). He could just be frightened also. What I would do, and actually, what I am doing with the stray cat that I'm caring for under the stray program, is pick the cat up, praise him if he doesn't fuss, or become threatening and put him down and give him a treat. Soon, the cat will associate pleasantness with being held. Do this a couple of times a day, and only for a very short period of time.
Let us know how it progresses and good luck!