But why everybody compares landing solely on parachutes in ocean with landing solely on engines on land? For example, Soyuz use multiple parachutes for slowing down and engines for guiding and final soft landing on land.
The Soyuz does not "soft land" anywhere. It basically crash lands at a speed which doesn't cause any injury. For a first stage rocket the advantages of coming down on land via just parachutes are pretty much non-existent to negative.
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.
The Soyouz lands 'somewhere' in a fairly large target area. The recovery overhead is still non-trivial.
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.
