Here are a few reasons why:
1) There are often better choices available. While penicillin can still be a very effective drug, it actually has a pretty narrow spectrum of bacteria against which it is effective. If you don't have a reasonable idea of which bacteria you are dealing with, or don't pair penicillin with another drug with a complementary spectrum of action, it may well be useless.
2) Penicillin is thick which means you need to you a larger bore needle for administration (which horses become progressively less appreciative of over time)
3) It needs to be given in relatively large and frequent doses (~ 30 mL 2x/day). (I find it exceedingly frustrating when I get am told that the horse has been receiving 10 mL 1x/day as this is only causing discomfort for the horse and contributing to antibiotic resistance)
Last and most importantly
4) PENICILLIN CAN KILL YOUR HORSE! Yest that's right. Procaine Penicillin G if given in the vein (or even if given in the muscle in an inflamed area where it can quickly migrate into the blood stream) will cause a reaction which can range from the horse blindly walking or running into anything or anyone in it's path for several never ending minutes, to simply falling down seizing and dying.
Please, please, please consult with your veterinarian before administering penicillin to your horse because there are probably both more effective and safer options out there.
I'll get off of my soap box now:)