1. Conventions are normally on the weekends, and that's when many of us like to write. In other words, sitting at a table, trying to hawk your books means you won't be getting any writing done.
2. Unless you're an invited guest, conventions cost money to attend. Primarily, table fees. But there's also food, travel, and if you're out of town, lodgings. These costs can quickly mount, surpassing several hundred dollars. That's a lot of books to sell.
3. Conventions cater to a specific demographic. For instance, comic book fans. Unless your book is about comic books, or comic book characters, you're going to have a hard time competing with cover-to-cover art.
4. Selling books in person isn't as easy as you might think. Particularly bearing in mind the fact you'r competing against art, props, toys, and a lot of other things that can much more easily be visually appraised for their value.
If you do decide to set up at a convention, bear in mind there's a LOT of sitting involved. Sitting at your table/booth that is. You can bring something to do, or read, but if you do get a visitor, you have to be ready to drop everything and give them all your attention.
Don't get too excited about visitors though... many are authors themselves, eager to network with other authors, or maybe looking for some tips from someone more experienced. Or they could be an aspiring author who has a lot of questions about self-publishing, but no intention to buy anything.
And don't go to the convention empty handed. Even if you're only trying to sell ebooks (or rather, direct people to them) you need stuff at your table. Bookmarks, buttons, pencils, flyers, cards... the more stuff the better.
As you can see, conventions are a lot more complicated to be a vendor at, than they are to visit. You're probably better off visiting, then returning home and doing some writing.