The first stage fires for about three minutes. In that time the rocket is over 20 miles high and has a significant enough horizontal flight velocity that it would require extra fuel to bring it back.
More info here.
http://forum.nasaspaceflight.com/index.php?topic=33439.0
Quoting from one forum entry:
‘As many people know Elon recently said that: “If we do an ocean landing (for testing purposes), the performance hit is actually quite small, maybe in the order of 15 percent. If we do a return to launch site landing, it’s probably double that, it’s more like a 30 percent hit (i.e., 30 percent of payload lost).”’
As an aside I found this.
Falcon 9 User’s Guide
http://decadal.gsfc.nasa.gov/pace-201206mdl/Launch%20Vehicle%20Information/Falcon9UsersGuide_2009.pdf
‘As many people know Elon recently said that: “If we do an ocean landing (for testing purposes), the performance hit is actually quite small, maybe in the order of 15 percent. If we do a return to launch site landing, it’s probably double that, it’s more like a 30 percent hit (i.e., 30 percent of payload lost).”’
...
That would be a good enough reason if true. Plus there are safety concerns at this point, and high cost rocket builders who make big political contributions don’t want SpaceX to have an easy time of it.