User blog comment:Jkphantom9/Volume 3 Episode 6 Preview/@comment-25110963-20151210034942/@comment-3257939-20151210065811

For the same reason why Yang mainly fights with her fists: That's where her weapons are. It means extra power.

Plus we've never seen Mercury being pushed to his limits. If he can actually fight with his fists but hasn't done it until now then that might suggest he has been holding back a little bit.