Because the Earth is really cookin', and ~~anything~~ anyone you hurl toward the sun will inherit that orbital velocity as well, meaning that they'll actually end up going around the sun, instead of into it. And due to the speed it would pick up on its way in, it would basically take up a highly-eccentric yet stable elliptical orbit.

"Well, what if we throw them in the other direction, to make up for it?" That's called retrograde, and that's basically exactly what you'd have to do: cancel out the Earth's entire orbital velocity. Which would take a lot of energy, plus a couple of really exacting gravity assists from planets on the way in.

(Edit to add: I may have explained this poorly. Basically, if you don't change your orbital speed at all, any movement you make toward or away from the host body means you just end up in an orbit of the same average distance, but in a more eccentric [elliptical] shape.)

By contrast, even though the escape velocity from the solar system is no slouch (42 km/s), you get to start with the Earth's orbital velocity (30 km/s)--meaning you're already a little under 3/4 of the way there. Plus, if you can make it to Jupiter and Saturn, you can get a significant gravity assist, and they're much bigger targets for such a maneuver than Mercury or Venus are.

So, yeah, bottom line: you only need a delta-V of about 12 km/s to get out of the solar system, but a delta-V of 30 km/s to get to the sun without going into orbit.