Because

1. you have to pay ongoing fees for borrowing the shares
2. you have to pay out any dividends that occur while borrowing the shares, that you sold (and thus you didn't receive the dividend)
3. the potential for loss is unlimited (e.g. if you sell and the price goes way up) and the brokerage will force liquidation once your margin is exhausted.

If you want to bet on a price decline it is better to buy put options, but this can also be an easy way to lose money rapidly, but at least limited to what you paid for them. Options pricing is going to reflect expectations and thus may net out to very little gain.

It is possible to make money on it, if you buy the options early enough and enough out of the money (meaning the strike price is far enough from the current price). If the pricing changes due to events and changes in the underlying asset, you can sell the options at the new price, this is the easiest way to do it, rather than exercising.

There are lots of options strategies but most of them boil down to losing money at various speeds.

For example, there are things like "collars" where you buy a put and sell another put below that, which cuts down the cost. However the put you sold can get exercised and that can get you into trouble quickly, because it turns into short shares, which have UNLIMITED downside, etc.

Unless you know what you are doing (and I have learned that I don't!) best not to do this except very carefully with money you can afford to lose. And remember whenever there looks like a sure thing, the rules can always change.

Oh yeah, and not financial advice LOL