Regex/Python - why is non capturing group captured in this case?

You need to use a look-behind instead of a non-capturing group if you want to check a substring for presence/absence, but exclude it from the match:

import re
s = "Monday, Tuesday, Wednesday, Thursday, Friday, Saturday:"
print(re.sub(r"[\r\n\t]|(?<!\d):",'',s))
#                         ^^^^^^^ 
# Result: Monday, Tuesday, Wednesday, Thursday, Friday, Saturday

See IDEONE demo

Here, (?<!\d) only checks if the preceding character before a colon is not a digit.

Also, alternation involves additional overhead, character class [\r\n\t] is preferable, and you do not need any capturing groups (round brackets) since you are not using them at all.

Also, please note that the regex is initialized with a raw string literal to avoid overescaping.

Some more details from Python Regular Expression Syntax regarding non-capturing groups and negative look-behinds:

(?<!...)
- Matches if the current position in the string is not preceded by a match for .... This is called a negative lookbehind assertion. Similar to positive lookbehind assertions, the contained pattern must only match strings of some fixed length and shouldn’t contain group references. Patterns which start with negative lookbehind assertions may match at the beginning of the string being searched.

(?:...)
- A non-capturing version of regular parentheses. Matches whatever regular expression is inside the parentheses, but the substring matched by the group cannot be retrieved after performing a match or referenced later in the pattern.

As look-behinds are zero-width assertions (=expressions returning true or false without moving the index any further in the string), they are exactly what you need in this case where you want to check but not match. A non-capturing group will consume part of the string and thus will be part of the match.