Because you're constantly under deep scrutiny by your parole officer, and many small things that normal people would do with little or no consequences instead become reasons for you to be sent back to prison. This makes it extremely difficult to try to start your life back up again, and even if you succeed somewhat, you're under constant anxiety that some little thing could cause it all to crash down again.
If instead you just wait out the rest of your term (counting good-conduct credit if there's no strings attached to it), you get to have a much more normal life, although not a totally normal one as you're still under increased scrutiny. You probably won't get sent back to prison and have all your hard work destroyed, though, like what would happen when you're out on parole.
EDIT: For instance, you finally managed to get a job and a car, despite you being out on parole. This was super hard in and of itself. Then one day your car breaks down and you miss your appointment with your parole officer. Back to prison with you.
Your friend accidentally drops his (legal) recreational marijuana from his pocket into your car. You didn't even know he had it. Parole officer searches your car and finds the (legal) marijuana. Back to prison with you.
You're not allowed to be out after 9pm, but your boss asks you to stay an extra half hour until 8:30PM instead of 7:30 when you normally get off.. You have to choose between going to prison again or losing the job you worked so hard to get. Boss doesn't understand why working an extra hour is such a big deal. You manage to talk him down to an extra 30 minutes and you leave at 8PM, but then you get caught in traffic on the way back home. Cop passes you at 9:15PM and his license plate reader flags you. Back to prison with you.
Parole makes sense on a life sentence (or one long enough that it's effectively life), where the only way you're ever gonna get out is on parole, but for some people even on a life sentence they choose to stay in prison because at least there's not that worry and anxiety.