Several reasons come to mind:
Distaste. Why would a knight use a pitchfork as a spear? It gets the job done, but it is seen as a peasant's weapon, but it looks ugly as well. And the pitchfork stinks for some reason...
Unreliable. Guns have not yet evolved into something that fires every time the trigger/mechanism is activated, and accuracy is very poor until the invention of rifling and the minie bullet.
Unwieldy. Most early guns were micro-cannon on a stick. Eventually the musket was invented, but it was still very bulky. Compared to what is generally used for magic (a free hand or 2, sometimes a bag of physical components/power source), a firearm takes up lots of space. Some early models needed a stand to be aimed properly. Firearms also have a complicated any long reloading process.
Rate of Fire. Turns out firearms, until the invention of the metallic cartridge, have a very low rate of fire. A decent mage should be able to have a much higher attack-per-minute.
Damage output. Sure a gunshot wound is nasty, but so is getting hit in the chest by a fireball the size of your head, or a boulder summoned from the sky, or a necrotic tentacle that leaves ruined corpses behind. Until firearms are common and fired in large numbers, mid to high tier magic outpaces them in terms of raw damage.
Ammunition. Proper ammo that does not explode your firearm, malfunction, or is not improperly mixed can be rare or uncommon. Usually, all that a mage needs is some sort of energy source. As such, even if a mage disregards all the points above, they might stop using them due to lack of quality ammo.