Reasons (as I can remember)
1. You are responsible for the bullet coming down. There is a good chance that it hits a house or, worse yet, hit a person.
2. Every bullet is precious in a gun fight and can be a difference between life and death. Every time you fire a warning shot, you have one less bullet in your gun.
3. If yelling "I have a gun" doesn't stop the criminal, a warning shot would not either.
4. In many cities, shooting for self-defense is legal. Believe it or not, fire a warning shot can be illegal.