Because if they fail badly and the rocket slams down hard, the remaining fuel and oxidizer in the tank is going to blow up like a very respectably sized bomb. It won't quite demolish a city block, but you certainly don't want to be anywhere near it.

Until they can be sure they can reliably control it during descent, they are choosing their landing sites so that even in the very worst case, it can't come down on top of someone. This pretty much means it has to come down in the Atlantic.

If they don't have the precision to land on a tiny barge at sea (in calm seas), they don't have the precision to safely land anywhere reasonable. The worst case with a botched ground landing is something like dropping a blockbuster on a random, possibly populated area. The FAA won't allow them to attempt a non-sea landing until they've demonstrated several sea landings (along with much technical documentation).

1. You launch eastwards so you get the bonus speed from earth's rotation.

2. You launch over the ocean (or other sparsely populated areas) for safety purposes. All rockets so far have dropped stages or engines on the way.

3. To get to orbit, you have to do mostly horizontal acceleration (8 km/s or so). That's why the rocket points eastwards soon after launching, and staging happens already far from the launch site and why the first stage has a lot of horizontal velocity towards east. You don't want to fly a dog-leg as that wastes energy.

Much easier to get FAA approval, and less propellant is required compared to reversing course completely to land near the launch site on land.

Launch trajectory is always over water for US launches, so if the rocket fails there are fewer people to hit below.

In addition to what everyone else said: location and range safety.

The launch sites they use were built for non-recoverable launch vehicles which are dropped to the sea. The launch sites have a narrow range eastwards, and SpaceX needs to adhere to the restrictions despite being able to land the boosters safely. This means that their rockets will inevitably be going over the sea.

Because the trajectory of where this thing ends up is in the ocean (on purpose -- think about failure modes to see why).

I can think of several reasons, but the most significant is that the launch takes place over the ocean.

Incremental testing. They don't even have a landing site built yet, nor FAA permits for that. But get a few landings on a barge down and they'll improve confidence in the process a great deal.

I assume to get the accuracy down. Once they prove they can hit that target reliably, they'll be trusted to try over land (where missing can have much bigger consequences).

It's a big win to buy, build, and outfit the barge instead of paying an insurance payment to do the landing on land.