Because your veins are like highways going to every point around the body in combination with arteries. Harming your veins, arteries or nerves are serious issues. Unlike cutting your finger, introducing foreign, potentially harmful/ infectious, substances directly into your blood stream doesn't stay as a local problem, it reaches everywhere in your body. You also skip many systems that protects the body against viruses, harmful bacteria by injecting. Even if the substance is clean, the substance itself can be problematic or the process used to prepare it could make it more toxic/ irritating.
I think that Krokodil is a good example of what some substances are capable of doing to the body.
Harming an important nerve during injection could cause a person to lose feeling of that extremity or much worse. Hitting an artery instead of a vein by mistake can be a fatal mistake especially if it's the femoral or neck artery. People loose fingers or arms because of shooting cocaine in an artery instead of a vein.
So, the IV route is very risky and if the user doesn't know what they are doing/ isn't careful about sanitation or the dosage/ don't take it seriously, it will definitely cause problems even loss of limbs or fatality. When used correctly and smartly (some users are able to do it once in a while, without getting addicted), it's the most efficient and nearly the fastest route. It's very hard to go back to other routes of administration once you experience intravenous drug consumption.
