Frankly, they're just not friendly. If something about them doesn't work, you're more or less on your own to figure out why that is. Technical support is, by and large, useless. Compounding that, there's approximately ten hojillion things that can go wrong with a computer game. Between the countless different combinations of hardware a computer might have, all the programs and settings, device driver versions, internet connection settings, and on and on, frankly, it's amazing anything works at all.
PC games have gotten many times friendlier than they were in the past. Back in the day, you had to run them through DOS, which was its own barrier to entry. It wasn't uncommon to need to make a boot disk for individual games that was tailored to free up the proper amount of high and low RAM (bet you didn't know there were two kinds, huh?). Any trouble shooting had to be done without the aid of the internet. Things were very complicated.
These days, things are much, much simpler. However, when something goes wrong, it's frequently no easier to fix. Last night, what I thought was going to be a simple installation of a game turned into a two hour troubleshooting process. The root cause? Someone logged into their account on my PC. This is a perfectly ordinary process for that service, but somehow it screwed something up that hosed a vital bit on my system. It was an easy (if annoying) fix, but a user with less experience might not have figured it out, wrongly blamed the game, and tried to return it.
Of course, that would've failed. We're at the point where if you open a game, movie, CD, box of ceral, it's yours, and the stores will only give you the same thing back. That's the unfortunate reality of retail today. Except that if a game just won't work on your computer (and that occasionally happens), you're screwed.
All this adds up to it's just easier to game on consoles. Since there's so many fewer options on consoles, shit just works. If it doesn't work, it usually means something is broken. Like so many things, a car analogy can illustrate the difference between console gaming and PC gaming.
Console gaming is like driving a Camry. You buy a Camry because you want a car that drives, and only requires you putting in gas and occasionally taking it to the mechanic. You don't care what goes on under the hood, as long as it goes vroom when you turn it on. PC gaming is like driving a rebuilt '67 Chevy. That you restored by yourself. With some modifications. You love popping the hood and getting your hands dirty. If you can spend two days fiddling with it and get an extra 2 HP out of it, that's awesome. Something going wrong is a chance to dig inside and figure it out, it's an adventure. At the end of the day, it takes more work, but you wind up with something that's more your own, and will get you places with more style than the Camry.
There's a reason there are more Camrys on the road than rebuilt '67 Chevys. It's not a bad thing, it just is. Sure, sometimes I like monkeying in the guts of my computer and figuring shit out. But sometimes I just want to go to the store and get some ice cream. That's when I'm hopping in my Camry.