Question

why the coefficient of friction is different for different objects

Answer 1

If you look at the surfaces of materials in microscopic scales, you will find that the even the smooth surfaces are not smooth. There are many ups and downs in the sufaces which cause the interlocking between surfaces when two surfaces are in contact. The amount of ups and downs in different surfaces are different from each other. In some surfaces, the locking is better and hence the friction is more and in some surfaces the locking is not good enough and the friction is less.
Friction is defined for a pair of surfaces. For example, the friction between iron and steel surface is different than the friction between iron and wood surface. Friction of only iron surface is meaningless.

Answer 2

If you see the surfaces of solid substances with a microscope you find that they resemble surfaces of plants with a lot of thorns. You can also say like there are a lot of ups and downs like mountains and valleys.

When two surfaces are on each other, these thorn/mountain like projects go into the valleys in the other substance. So these cause hindrance to movement of the two objects laterally.

Friction is different for different combinations of object surfaces. The reason is the structure of ups and downs on each surface is unique for each surface and their interlocking is unique to each combination.