They have a limited number of launch sites available to them, and the landing site is based on trajectory and fuel. Depending on the mass being launched, there will often not be enough fuel to turn around, and if you keep going, there's not much but ocean for a long way. Also, not any land will do. You need a pretty big, purpose-built space to land a rocket. With a barge, they can put that space where they need it.
Launches which send the payload beyond low earth orbit require too much velocity for the first stage to then turn around and make it all the way back to the launch site.
They put the barge downrange so less fuel will be needed to turn around and land, enabling first stage landings on beyond-low-earth-orbit launches.
This has got to be a large part of why they were looking to launch from south Texas. that gives them a few hundred miles of gulf, and then they can land in FL.