From an interview with Ebony magazine:
In 1987, he left the Jehovah's Witnesses. There was strong opposition to his "Thriller" video on the part of some Witnesses. Perhaps the controversy figured into his decision to leave. But I don't know that for a fact because I didn't talk to him about what he'd done. I couldn't. Witnesses do not discuss spiritual matters with a person who has disassociated himself from the Witnesses, including family members. But I want to stress that, contrary to published reports, I was not required to "shun" my son. Our relationship is as loving today as it was when he was a Witness. I just can't ask him, "Why, Michael?"