Let $f$ be the form : $$f(\tau)=\prod_{M\mid N}{\eta(M\tau)^{a_M}} \quad (\tau \in \mathcal{H})$$ Generally, we said that $f$ is an $\eta$-quotient when $(a_M)$ is a sequence of integers. One can find conditions on $(a_M)$ such that $f$ is a modular form of weight $k$ invariant under $\Gamma_0(N)$ (with a charactere $\chi$) : $$\frac{1}{2}\sum_{M\mid N}{a_M}=k$$ $$\forall c \mid N, \quad\frac{1}{24}\sum_{M\mid N}{\frac{\operatorname{gcd}(c,M)^2}{M}a_M} \in \textbf{Q}_{+}$$ (reference : http://www.beck-shop.de/fachbuch/leseprobe/9783642161513_Excerpt_001.pdf). But with those conditions, for which reason must we impose $\left\{a_M\right\}\in \textbf{Z}$ and not $\left\{a_M\right\}\in \textbf{Q}$ ?
Thanks !
Sidenote: This answer involves guessing, and I am not particularly fond of it. In fact, I had deleted it, but some users apparently have found it better than nothing and have voted successfully for undeletion. Well then.
Why only integer exponents?
But:
I suppose those are the main reasons.