It generally comes down to bandwidth, which is the size of frequency range that we can modulate our signal over. When we have a digital or analog signal, we encode the information across a small band of frequencies. The larger the band of frequency we encode across, the more information we can cram into the signal per unit of time. So let's say we choose a carrier signal of 1 MHz and another at 1 THz. A band of 500 KHz is chosen for our signal. That means we have spread our signal across .75-1.25 MHz and 1.00075-1.00125 THz. The 1 MHz means that we have taken up a much larger amount of frequency range in regards to the carrier frequency than the 1 THz. This is hard to do, first it restricts the number of other transmitters in the frequency range, the next one may have to be at 1.5 MHz or more to prevent overlap. The second reason is that now our signal's wavelength at 1 MHz is shifting by a large percentage with respect to the carrier frequency. If we make a resonant antenna at 1 MHz, we would need an antenna with a much larger bandwidth than the 1 THz signal to properly receive the signal.

So it comes down to the fact that higher frequencies allow us to use a larger amount of bandwidth to encode more information.