A big reason drugs are preferred to therapy is that the drugs are far cheaper. 6 months of antidepressants can be like $80, 6 months of bi-weekly therapy $5,600.
My understanding is that mental health therapy should be covered by most insurance plans these days so the out-of-pocket shouldn't be that high. While it's a sample size of only one, my wife sees her therapist bi-weekly and I think the co-pay is $20 per session. A month's supply of Duloxetine (generic Cymbalta) actually costs us more per month at $45.
Not only is therapy expensive, it is non-existent. We live in a decent-sized city and have tried numerous psychologists for our daughter and they all suck. I've decided that outside of psychiatry, as in, someone who is actually an MD, the rest of the field is utterly worthless. And the psychiatrists only want to medicate. Honestly, we've gotten better outcomes from just our family pediatrician.
Not to mention the potential cost of missing work to go to therapy. Some people don't have PTO or a flexible schedule and getting to therapy appointments is a real pain in the ass.