Two main reasons I can think of:
1) Sea water is extremely corrosive. If your booster takes a dunk in the drink, it's going to be very hard to refurbish for another launch. Lots of components (electronics, valves, etc) would need to be replaced and the structural integrity of the tanks themselves may be compromised by rust.
2) Flotation devices attached to the booster = extra payload. It would be the canvas/dinghys AND compressed gas canisters for inflating them. This is arguably (a lot?) more weight than just landing struts + fins. Any extra payload on a rocket represents a massive cost and means less stuff you can haul for paying customers.
2) Flotation devices attached to the booster = extra payload. It would be the canvas/dinghys AND compressed gas canisters for inflating them. This is arguably (a lot?) more weight than just landing struts + fins. Any extra payload on a rocket represents a massive cost and means less stuff you can haul for paying customers.