Do you know, why should you not pick a lock yourself?

Because its illegal?

Meaningless question. Many of us have picked locks, from old desks or trunks to our own doors.
Yes, I once got a skeleton key jammed in my porch door and had to call a locksmith, who took what seemed like hours getting it out, but I was very very lucky that he only charged me $10! What a nice guy.

I guess it would depend on the circumstances. If it is your house, go ahead. If it is not your property, don't do it. What is the reason for the question?

If it is not your house, or car, or desk or suitcase, then it is illegal without owners permission. If it is not yours and even with permission you are libel for damages.

Even on your own car for example, there is a high probability of damage to the car and/or lock.

On a home, if done poorly can cause damage to the lock.