We have been using PhpSpreadsheet since several years (when it was still named PhpExcel) with Drupal to read XLSX file. The chance is that, we never use it with a stream wrapper, which is particularly widely used in Drupal. Turn out that it does not work with stream wrapper because it uses ZipArchive to uncompress XLSX file and ZipArchive::open() does not support stream wrapper.
While I think it is reasonnable that ZipArchive does not support stream wrapper because of some limit in the ZIP format and it would be nice that PhpSpreadsheet support it, I just need a way to work around this (then still unknown) problem. Get the real path:
$filepath = \Drupal::service('file_system')->realpath($uri);
$speadsheet = IOFactory::load($filepath);
That's it. I omitted all debugging details by the way.
PS: the server should have zip extension installed. ZipArchive is used by core, but only in the web installer and thus there is no mention about this extension in the requirement.