Because you're more likely to kill yourself quickly with a shot to the head. Most people don't even know where their heart actually is (if you think it's on the left, you're wrong - it's actually slightly left of centre). If you shoot yourself in the chest, it's far more likely you'll have a slow, agonising death while you bleed out or suffocate or drown in your own blood than die instantly. The brain is a significantly larger organ. Much less chance of missing it with a self-administered shot.