They may not do it because of bad experiences.
Most of us shoot a .22 Rimfire as our first real firearm. A lot of designs, especially older ones, allow the firing pin to strike the forward end of the rim headspace recess. This can damage either the pin or the chamber (tools to iron out chambers inwardly upset by this are available). Some newer designs, like the Ruger pistols, have a firing pin stop in the bolt to prevent the pin reaching quite that far, but one is always best advised to use a snap cap in a rimfire.
Some older centerfire designs are also not strong in the firing pin. I remember about twenty-five years ago my dad had a .380 FIE pistol that he dry fired once. Just once. When he did, it made a "tink" sound, and the tip of the firing pin fell out of the muzzle. Firing pin too brittle and stopping on a sharp internal shoulder in the slide. Fortunately, he was able to get a replacement, and I still have that pistol today, but I wouldn't dry fire it without a snap cap in place.
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