Why is this C# static method not thread-safe?

Question

Please see the below static method. I would expect the result of this program to print the values 0-9 in a random order. Instead, there are duplicates in the result (indicating the method SleepAndPrintThreadIndex is not thread-safe). Can you spot the issue?

using System;
using System.Collections.Generic;
using System.Threading.Tasks;

namespace ThreadTest
{
    class Program
    {
        static void Main(string[] args)
        {
            int threadCount = 10;
            List<Task> tasks = new List<Task>();
            for (int i = 0; i < threadCount; i++)
            {
                var task = Task.Factory.StartNew(() => SleepAndPrintThreadIndex(i), TaskCreationOptions.LongRunning);
                tasks.Add(task);
            }
            Task.WaitAll(tasks.ToArray());
            Console.ReadLine();

            // The final result is not 0-9 printed in a random order as expected

            // Instead, the result has duplicate values!  
            // Sample result:

            // 4
            // 6
            // 3
            // 5
            // 4
            // 7
            // 7
            // 9
            // 10
            // 10


        }
        private static void SleepAndPrintThreadIndex(int threadIndex)
        {
            Random r = new Random(DateTime.UtcNow.Millisecond);
            System.Threading.Thread.Sleep(r.Next(5000));
            Console.WriteLine(threadIndex);
        }
    }
}