Here's why:
* Exclusive is an adjective, and adjectives have comparative forms to show a higher degree of the quality they describe.
* The most common way to form the comparative of most adjectives is to add "-er" (e.g., "bigger," "faster") or "more" before the adjective (e.g., "more beautiful," "more difficult").
* "Exclusive" is one of the adjectives that uses "more" to form its comparative.
So, you would say something is more exclusive than something else.