Parachutes are a pain in the ass to replace. But more than that taking a dunk in the ocean isn't so good for rockets, and spending the better part of a day with a search and recovery team and all the relevant equipment necessary out looking for the rocket and hauling it back home isn't cheap, it also adds a lot of delay to the whole workflow. Compare that to a propulsive landing on the launch pad next to the assembly facilities. You don't have to have a whole special team of folks on hand. The first stage is back in your hands in a matter of hours, where it can be transported back to the assembly building using a simple crane or other specialized equipment. And it can be inserted into the processing workflow much faster than if it had been out in the ocean, and with less overhead of having to clean it, refurbish it, inspect it, etc.

You can't direct where the rocket ends up, highly likely that the rocket will get damaged or much less likely that the rocket will damage something else (This is why NASA dumps it's rockets over the ocean). Then you have find a way to get the rocket home, which involves time and money. Why not just burn fuel (rocket fuel is only a few times more expensive that burning water) and bring the rocket home?

If you need more payload build a bigger rocket.

You could also add wings to the rocket and fly it home which has it's own set of trade-offs and benefits(see space shuttle).

Parachutes were the first thing they tried, on the first stages of the first Falcon 9 launches. It didn't work; the stages broke up on re-entry before they slowed down enough to deploy the parachutes. The response was to try active control to keep them intact --- and I guess they figure they might as well keep it all the way down.

Parachute and/or airbags are not necessarily lighter than fuel on a rocket as big as falcon. Parachutes don't scale linearly with the weight of the cargo. Plus they introduce an additional complexity and a point of failure.

I don't think a parachute would give them the amount of control they want over where it lands. Maybe the idea is to eventually have many of these things docking in the same area, like an airport. If you have a fleet of multi-million dollar rockets, you want to be in as much control of them as possible.

You cannot land a large payload on Mars with a parachute due to the very thin atmosphere.

Parachutes are really hard. Ask Carmack at Armadillo, but make sure he's in a good mood first. It's not because he's an idiot or anything.

Plus, parachutes create a new failure mode: parachute deploying when it shouldn't.

Think like systems administrator. They've gotta have a rocket engine and a nav system or its not much of a 1st stage. However adding parachutes, airbags, etc, is new systems. Which means much lower reliability and higher expense.

Elon wants rapid (think aircraft), turn around times. That's what's driving the decisions.