There’s not a single overarching answer, because the three examples you cited are all very different from one another. That said, looking the three very different reasons why these leaders chose to open up the political sphere can still provide useful insights.

With Juan Carlos I, the king’s personal convictions were a major factor. The Spanish Bourbons had taken on a pro-democratization some time before his reign. Juan Carlos’s father Juan had been passed over by Franco for being too liberal and pro-democracy. In addition to personal beliefs, Juan Carlos I felt that transitioning to democracy was an important step in normalizing Spain’s relations with the rest of Europe.

Which takes us to the situation in Bhutan. At the time Bhutan began democratizing, the nation was still relatively underdeveloped and dependent on foreign aid to continue building up its economy. Democratization was seen as part of the development process, as well as a way to encourage foreign aid. Taking charge of the reform process also ensured that the monarchy could lead it from the front and preserve its traditional role and many privileges.

Finally, we come to Gorbachev. Democratization wasn’t his initial goal, he saw Glasnost as a needed measure in response to the Soviet Union’s struggles, especially in light of the Chernobyl disaster. The Soviet government culture of secrecy and cover-ups hampered the government’s response to the disaster and many other issues facing the government. Gorbachev saw creating political openness as a necessary step in addressing these problems: it’s hard to fix something government leaders aren’t willing to acknowledge the problem even exists. Full democratization was not Gorbachev’s goal, he just saw some reforms as a needed measure to preserve the Soviet system.