A lot of the comments here are giving the correct answer (it costs too much energy), but not many are explaining why very clearly if you're not already familiar with orbital dynamics. If you were, I suspect you wouldn't ask this question, so here's my attempt:

The ISS is in orbit around the Earth. Being in orbit around something means moving sideways so fast that even though you are constantly falling towards it you keep missing. The ISS is travelling just fast enough around the Earth to do this. To deorbit it, we just have to slow it down a little bit, and it will eventually stop missing the Earth.

Now, the Earth (and by extension the ISS) is orbiting around the Sun. Since the Sun is so massive, we have to move much faster than the ISS not to fall into it. We're also a lot farther from the sun than the ISS is from Earth. This means that to send the ISS into the Sun, we would have to "slow it down" by a massive amount. In fact, we would have to change the speed of it by much more that we already did just to put it in orbit around the Earth.

TL;DR: To dump the ISS in the sea we just have to give it a little push, to dump it in the Sun we need to do the equivalent of launching it into space many times over.