From what we see in the movie the thing is able to separate into and assimilate other organisms easily. I think it would be fair to assume it is able to merge with other parts of itself easily after separation.
Since explosions mainly damage by tearing stuff apart with shock waves (notwithstanding shrapnel damage which is irrelevant for the thing - it is impervious to projectiles), what's to stop the thing from just reconstructing itself after being blown up as it was in the ending sequence? Why did humans choose to blow it up? Was it just a misguided attempt at doing at least something?
It seemed like burning the thing should extinguish it for good since it would induce chemical transformations that would prevent any cellular activity and was therefore a safer bet.