Primarily because iron has high resistance and corrodes easily, especially at junctions with other metals were
Iron has a resistance almost 6 times greater than that of copper which means, in turn, that to carry the same current with the same voltage it will require cables with almost 6 times the cross-sectional area. However, it’s unlikely that pure iron would be used and some form of steel would be more appropriate and that has even higher resistance at 7–8 times higher than copper.
Cables which are 7–8 times the cross-sectional area of copper equivalents will be very heavy, bulky and unwieldy. They won’t bend easily round tight corners, even when finely stranded (which they would have to be). Also, bear in mind that the greater cross-sectional area will also require more insulation.
When it comes to corrosion at joints, it will be a nightmare of poor connections which will worsen over time and will be especially vulnerable if they ever get damp. Aluminium has proved problematic enough, but iron/steel would be far worse.
Then there are secondary issues. Steel/iron is not suited to soft soldering, so higher temperature silver soldering or even brazing might be required. Steel/iron aren’t going to be very suited to crimped joints either.
Whils iron and steel are very cheap, that will be more than outweighed by the increased amount of materials, difficulty of installation, greater weight to be carried, extra maintenance and the issues of poor connections and failures over time.
Of the alternatives, silver would be ideal if it wasn’t so damned expensive (it is used, at least in plated form on co-axial cables and the like) and aluminium, whilst it has good conductivity for the relatively low density and cost, suffers from a lot of problems with corrosion and hardening. It has its place in the very high voltage transmission lines but its use in building wiring infrastructure has shown its long terms problems.