Yes, they actually tried parachutes until 2011. As Abe said, in order for the chutes to work, they need a lot more stuff to stabilize them as they have to deployed a good way up in the air. Their deployment, would prevent their new computer controlled "hyper sonic" fins from being useful. The fins, on a fast moving drop? Can actually control the aircraft really well, but they need the speed to do it. If the chute is deployed at this speed, it just burns up.
So the best way to control and slow it was to not use chutes at all..and just let the finds control it on an extremely fast descent down--then have a burn slow it down, and guide it in. From the articles I read, this is all only possible thanks to all the new computer/drone systems on board, which allows very precise moment to moment measurements. It makes "needing to slow down" not as much of a requirement until the end. (I think this is all under the Grasshopper lander on the wiki page--they've made some fascinating advances in Rocketry. Space X is not fucking around.)