As well as theprof's excellent answer I guess the following has to be considered.
Pylons can easily go over roads, motorways, railway lines, rivers, hills and valleys, and housing estates.
Now suppose you had to route the cables UNDER the ground, you would have to dig under roads, railways lines, rivers, hills and valleys, and houses.
Plus you would also need to get permission to rent or buy ALL the land that the cable was going to go under, and probably a fair bit either side.
Plus you would need to make sure you avoided all the existing cables and pipes such as electricity, gas, telephone, sewers, and all the other things that go under ground.
Laying new electricity cables underground is far from an easy option.