i think because it's more comfortable riding in a boat, except of course during storms. if you travel by land, the way is bumpy no matter if it's stormy or sunny.
and also because it is probably safer. i think there are more thieves than pirates. to be a pirate, you would need a sword/knife/gun and a pirate ship. to be a thief, you would just need a weapon.
and also i think boats are faster, that is if it's windy and you have a good captain who knows how to take advantage of even the slightest wind. If you're travelling on land, you need to stop at night to get some sleep. If you're travelling by boat, you can sleep and still the boat continues to travel.
=)