One explanation (not QUITE canon but based on it) is the thestrals.
You probably do NOT want any first-years who are already traumatized by having seen a death to be even further spooked by seeing a rather frightening animal pulling the carriages.
This line of thought is actually somewhat backed up by JKR. In an Pottercast interview, when discussing the (obviously unwritten) possible graduation rituals/ceremonies at Hogwarts, she said:
JN: Did you have ideas for what kind of traditions that they would do? Like ride the boats back out of Hogwarts, obviously, I think it's the cutest thing...
JKR: Oh yeah, definitely. No, I think the boats would've been the most poetic and beautiful way to get-- for them to leave. And symbolic in that they-- Harry wouldn't have seen the thestrals again, you know what I mean? It would've been a return to innocence, really. And passage over water is so symbolic, you know, in the history of magic, so, yeah. That would've been great.
(src: Anelli, Melissa, John Noe and Sue Upton. "PotterCast Interviews J.K. Rowling, part one." PotterCast #130, 17 December 2007.)
Note the last bolded sentence too. Apparently, the passage over water has special magical significance (I am not sure of what kind) - it may also play part in first-years arrival.