APT makes 3 assumptions, one of which is…
There are many assets, so invesetors can form well-diversified portfolios that eliminate asset-specific risk… (but not factor risk)… why is that?
APT tries to explain the expected return to asset / portfolio with the help of a set of factors, which are capturing systematic risk (risk inherent to overall market). By diversifying an investor eliminates asset-specific risk (unsystematic risk), but not the systematic risk. Since in APT systematic risk is explained by factor risks and the former cannot be eliminated, the factor risks remain. This is similar to CAPM, where diversification eliminates asset-specific risk, but not systematic risk.