It's not just the "high fantasy" (FF was actually never fully high fantasy) aesthetic, but all the game elements that came with the style. Armor, for example.

I like Final Fantasies that have cool armors to collect. I like the games that have class-based armor systems. This is harder to pull off in the newer settings. Instead of armor you get accessories and gadgets. Instead of journeying deep into a dungeon or fighting an annoying boss to get rad armor, you're "building" it out of raw parts (not crafting, mind you, that's different). This is a combination of setting and Nomura design. I'm not a fan of either.

Monsters in modern settings somehow lacks verisimilitude. Not that it can't be pulled off, but I don't think SE knows how to do it correctly. Maybe after Del Torro saves the Silent Hill franchise, he can work on FF.

Modern settings favor linearity, a tighter and more intimate plot. The intimacy of the newer plots is interesting in its own right. I just prefer a broader story for my FF. It works for other games, but I don't like it in a FF, I just don't. I think it's contrary to the overall style, and requires too many sacrifices in the areas that make Final Fantasy a real fantasy (oxymoron alert) to me. I mean, imagine if FFVII took place only in Midgar, involved only Cloud, Tifa, Barrett, and Aeris, and was compressed into the time between the reactor assault and the Shinra tower climb. No Golden Saucer. No Costa del Sol. No Northern Crater. Yuck.

I understand why it's happening, but that doesn't mean I have to like it.

There's no room for iconography in the modern setting. For all the talk of Final Fantasy reinventing itself from game to game, the fact remains that it's a series, and I'm going to keep thinking of it in terms of a series until SE stops referring to it as such and stops making numbered entries. All of the games have had varying levels of iconography, ranging from internal iconography (moogles, chocobos, airships, Cid) to external iconography (Odin, Excalibur, Genji Armor, Bahamut) to memography (You Spoony Bard!, World very simple place. World only have two things: Things you can and, and things you no can eat.) and those things are disappearing from the FF single player experience.

Humor is becoming less and less a part of the experience. Can you imagine an Ultros showing up in a FFXIII or FFXV? No, of course not, because the latest single player games take themselves way too seriously (from what I've seen so far, even though I'm generally hopeful about FFXV's prospects, I see it in this regard in the same light as FFXIII). I don't know that this necessarily has anything to do with the setting. It may be a coincidence with no actual correlation, but nevertheless it's something I used to look forward to in a FF, and it's now a thing of the past.

Regardless, I'll keep getting the games for now, even with my reservations. I mean, a good game is a good game, whether it's a Final Fantasy or not. So if they continue to make games as terrible as FFXIII then I won't keep buying them. But if FFXV turns things around in terms of quality, even considering its overall setting and aesthetic (which I don't like at all) I'll still play.