To move this question into a more historical context, I think it might be better to say "Why didn't France colonize Siam in addition to the rest of Indochina?"

This map shows the colony of French Indochina from 1856-1907.

With that in mind, I did a little searching and came across this very detailed response to the same question previously asked on Reddit.

I think the French influence was so pervasive that they did not really need to colonise. They just let the Siamese do all the work and reaped the rewards economic. You could say that it is an example of Cultural imperialism rather than actual Imperialism, they tried to emulate the west. One example is that to this day Thais to this day use a fork and spoon rather than chopsticks.