The simple answer would be it's due to our SI (aka Survival Instinct or some refer to it as Self Preservation), meaning that no matter how much our mind and how we wish we were dead, there is something subconsciously that stops us at just about every corner from completing the action that would result in death. For example, if one was standing on a tall ledge, we would freeze in fear and our body becomes stiff because it knows that if jumped, it would result in serious injuries and/or death. Another example would be when someone is about to pull the trigger, no matter how calm they are, there is always something that interferes with it and/or gets in the way of completing the action that would result in death.
There are ways to get around it and it would vary from person to person as no two individuals are the same. Some people take drugs, drink a bit of alcohol, and/or meditate, prepare themselves mentally over the course of days, weeks, months (or whatever length of time) in order to overcome their SI, even if temporary, just enough to go through with the attempt. Another thing is that if the pain and fear of living surpasses the pain and fear of death, then one would have an 'easier' time overcoming one's SI.