What is the reason we give as to why we shouldn't say that? D.A. Carson provides a helpful answer in his book The God Who Is There: Finding Your Place In God's Story.
The reason we are not to say, 'Oh, God!' when we hit our thumb with a hammer or say 'Jesus!' when we are disappointed is precisely because it diminishes God. If you were to be so bold as to turn to the person who has just used Jesus' name because he has hit his thumb with a hammer and say, 'I wish you wouldn't use my Savior's name like that,' he would probably reply, 'I do not mean anything by it.' But that is the point: he doesn't mean anything by it. That is precisely why the usage is 'profane,' that is, common. Using the name of God or of Jesus when you 'mean nothing' by it is not profane because you have spoken a magic word that you are not really allowed to use, as if only priests can say the right abracadabra. The usage is profane because it is common, cheap. We are dealing with God, and we must say and do nothing that diminishes him or cheapens him. It is at best disrespectful, ungrateful, and demeaning; at worst it de-gods him and thus sinks again to the level of idolatry."