1. It's illogical, irrational, and pointless.
2. It hurts other people, often more than it could ever hurt you, and trust me on that one; I know from experience.
3. Plenty of health risks.
4. You could go too far and do something you regret.
5. Scars that you will later regret, as I sure as hell do.
6. The impact it has on those around you, and not just the selfishness and how they feel, but how they might react - my best mate of whom has depression, recently shared with me that he has held a [sharp object] and thought "what if?"; apparently this has happened a few times, and I believe this to be the fault of his ex and myself, as we both have put him through quite a bit regarding self-harm.
7. Because the more it's done, the more damage it does to your mentality, and the harder is to quit. With every SH moment, you are not helping yourself and covering the inside pain, but merely feeding your depression and whatever else is going on, thus making it worse for yourself, and the cycle continues.
8. Life is precious; you only get one body.
There are more reasons I could come up with, I'm sure, but these 8 come from someone who has been there, done that, recovered, and experienced it from the other side to boot, and you can sure as hell trust that those 8 reasons and well founded, tried, tested, experienced, and honest.
It's not worth it, and every time you do it, you hurt people like me, who care. There are better ways to deal with your pain, and if they don't work, you damn well make them work, and you learn to substitute a bad thing for a good thing; the alternative isn't and won't ever be worth it.