Because Peter lost faith in Jesus's command. He told him to come, and instantly Peter stepped on on the water and started walking, but along the way, He got scared and thought that He hadn't made the right decision believing to walk on water. Whenever you start a journey with a lot of faith, you go, when you loose it along the way, you sink.

Being afraid is not Godly, because the bible states it that we are worriors in Christ, people who do not quit, when one gets afraid, chances are, tahat he will sink, or withdraw from the battle.