First off, if the goal is to save fuel from having to do a propulsive return to the launch site then that's not going to happen (except for the 2nd stage and capsule). The US has a lot of sparsely inhabited land but it doesn't have the same huge swathes of uncared for steppe that Russia/Kazakhstan have where they can just dump spent rocket stages everywhere with nary a care. There are range safety issues there that can't easily be avoided. Second, a giant rocket stage coming down on just parachutes is going to be damaged more on land than at sea. If you're trying to avoid the weight of landing gear you're just going to end up with the rocket engines crunching into the ground, which isn't going to be good at any speed. OK, so you can't save RTLS fuel, and you can't avoid having landing gear, at that point the only difference is a tiny little dribble of fuel to bring the stage in for a controlled powered landing. So you might as well just do that and be done with it.
Something as big and 'light' as the F9 first stage will be slowed down tremendously by the atmosphere. No need to add all the extra complexity and weight of parachutes.
If you need more payload build a bigger rocket.
You could also add wings to the rocket and fly it home which has it's own set of trade-offs and benefits(see space shuttle).
And because you don't know whether it is damaged or not (sometimes the damage may not be obvious), it's likely that the rocket will have to get a long post-flight inspection to check if it is suitable for another flight. It's something you can almost completely avoid if you land the rocket gently.
I read somewhere, that the costs of recovering SRBs of Space Shuttle from the ocean and then inspecting and fixing them were many times greater than building another pair of boosters.
Also, part of the allure of SRBs is that they are cheap to manufacture, comparatively (this is a false savings, due to increased operational complexity, but it's still very tempting), so even if a significant amount of money could be saved per SRB through reuse it wouldn't have affected the cost a launch much.
The cost of launching a Shuttle including the amortized development costs ended up being $1.5 billion per launch.
Plus, parachutes create a new failure mode: parachute deploying when it shouldn't.
