SpaceX totally 'flies' the first stage, but as a cylinder with gridfins it can't shed that much velocity due to aerodynamics.
Obviously the terminal velocity of the stage is still pretty fast but compared to the speed it starts at it's much smaller.
Every kg in fuel you need to burn to land, you need to lift off the pad. From what I found through some Googling, a F9 booster uses a little under 1,000kgs to do the hover burn. I would imagine some lightweight aero surfaces would be more weight-efficient at decelerating the rocket than the 999th, 997th, 996th, (nth) kg of fuel.