They don't want to drop it in all that horrible corrosive salt water. Or come to think of it, bang it into that nasty water, it doesn't compress so it's surprisingly hard and the top keeps on wobbling about. It's also expensive to have recovery fleets to pick stuff up.
SpaceX is all about re-usability and low cost. The Dragon capsule can land on land. I don't think the current one is reusable though, as they're still playing with the reusable engines for the man-rated capsule. That will land on land, and will be re-usable. Those engines also are supposed to be able to fire up quickly, so the capsule doesn't need an escape tower to whisk the astronauts off in case of a pad explosion. And they're supposed to be re-usable for wandering around space, and for the de-orbit burn, and to land the capsule on the Moon and get it back off again. Although I'd imagine there'll be a few trips to the ISS and re-designs before they try that.
So I guess the same goes for the rocket. They've already tested the landing stuff with their Grasshopper test rocket. So as you might struggle to slow an unweildy rocket from hypersonic speed with parachutes without bending it, or causing it to tumble - and it's got rocket motors anyway, why not use those. And seeing as they've solved the problem of landing a rocket, why not do that too. Particuarly as if you use a parachute you might bend the thing when it hits the ground too. At which point it costs so much to re-furbish it before re-use that you may as well not bother. Like the Shuttle solid rocket boosters. You need re-usable engines in order to re-use the rocket, so none of this should be an extra problem - and parachutes are probably not much ligther than the extra fuel needed anyway.
The landing is in water now, so if they screw up and crash the rocket, it won't land on anyone's head. Eventually the plan will be to take of from Canaveral, and land right back there ready for servicing and re-use. I'd imagine they've got to hit the barge a few times before the FAA will certify them.