Because with borrowing or buying futures, your loss is potentially unlimited. So in practice you would rely on stop losses to avoid this. But in a crazy market

Because with borrowing or buying futures, your loss is potentially unlimited. So in practice you would rely on stop losses to avoid this. But in a crazy market like this, the stop losses could get triggered repeatedly and you'd get worn out. With buying puts or similar construction that involves optionality, if you can buy them at a nice price, you're not as dependent on the intermediate path taken by the price.