Why can't horse walk easily on sand?

Horses can walk on sand fairly easily for an animal their size, however their ability to walk on sand is determined by the shape and depth of the sand itself as well as the horses hooves and body weight. A lighter weight horse with wider hooves will have an easier time walking on deep sand that a heavier horse with smaller hooves. It should be kept in mind that sand is the most popular footing for all equestrian sports as it provided cushion to the legs and supporting structures, but it is typically angular sand that is only 3 inches deep for most sports, though it can be deeper for some activities like reining.

The same reason you can't. Sand is not a completely solid footing and the foot tends to sink and slip.

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