I mean there's pain and there's pain... We are usually in pain, the reason why we want to die... so adding pain to it seems counterproductive. Then, like if it was pain for just a couple of seconds then you die, that's doable... but what if it was a minute or several minutes or an hour? The pain of a minute+ can seem like an eternity when the pain is bad enough.
And then there's the fear/anticipation of said pain... you start to feel phantom pain and dread thinking it is going to hurt which makes it hard for you to do it.
Most of us, if there was a button we could press or a pill we could take and we would instantly fall asleep and die completely without pain or worry... we'd all be gone in an instant, especially if that pill was cheap or free.
But suicide is difficult, on several levels, and often isn't free unless the tradeoff is potential pain and anxiety for the cheaper methods. It sucks.