Boring through rock is super slow and expensive, plus now your tunnel needs to be big enough to walk & run machines through, and needs aircon to keep it cool. It is done, but usually only in CBD areas where you need lots of cables and room for future expansion. Google 'cable tunnel' and you'll find lots of examples. Trenching machines go through very expensive consumable digging teeth whereas bucket trucks are just a fancy forklift, burning fuel and needing hydraulic & engine maintenance.

With high voltage cables, the (really thick) insulation gets really expensive, plus you need more conductor (copper/aluminium) because the insulation needs to stay cool. Aerial lines are directly air cooled (better cooling), and can run hotter, because the limit is the metal getting too hot and sagging, not the plastic degrading. Glass insulators are only needed at every tower and can be easily replaced.

Because keeping the conductor small is important, you need to use expensive copper rather than cheap aluminium for cables.

You also need regular joints which are very labour intensive, because they have to be perfect and you can't make a cable the full length because you can't ship a drum that big.

If a cable fails, fixing it is much harder than fixing an aerial issue. There was a cable fault in LA in 1989 that took 8 months of round-the-clock work to fix. When a tower falls over (usually because of slope failure or undermining), temporary structures are usually up in a couple of days.

Digging trenches under roads is much more invasive than pulling cables over roads, and rivers are even worse to deal with. It's very common for underground cables to be converted to overhead when they cross a river before heading back underground.

The Western HVDC Link between Scotland and England was built as an undersea cable because it's so hard to get planning permission and land rights to do major projects in the UK, as High Speed 2 found out.