Because if they fail badly and the rocket slams down hard, the remaining fuel and oxidizer in the tank is going to blow up like a very respectably sized bomb. I

Because if they fail badly and the rocket slams down hard, the remaining fuel and oxidizer in the tank is going to blow up like a very respectably sized bomb. It won't quite demolish a city block, but you certainly don't want to be anywhere near it. Until they can be sure they can reliably control it during descent, they are choosing their landing sites so that even in the very worst case, it can't come down on top of someone. This pretty much means it has to come down in the Atlantic.