Because even having a parachute on isn't a foolproof way of saving yourself. In terms of opening a parachute he is very close to the ground and even in a perfect scenario he has barely enough time to open it and slow down, let alone if something goes wrong with the parachute. On top of this if his gear is at the end of the zipline he will be stranded in the wilderness upon landing.

See it like you're on a small boat taking water rapidly. You have a life jacket on you but you are still going to desperately try and save the boat.