Humans are warm-blooded. Warm-blooded animals need a lot more oxygen than cold-blooded animals. 99% of fish cold-blooded.
A human scubadiver needs 1.5 liters of oxygen per minute while swimming, or 0.64 liters per minute while resting.
If we were to develop a human gills device, at least 192 litres of sea water per minute would have to pass through the artifical gills system, and so we'd need some sort of pump or vacuum with a decent amount of power.
So an artifical gills device for humans would be as heavy as a fuel source (or battery), as well as a pump, and if it's sucking water in strongly (192 litres/minute) then you'd be creating a current in the water.
It's more convenient just to go scubadiving with a tank of oxygen. Although it would have been really cool if we could have made human gills.