The problem is that lasers require more power to transmit data in the visible spectrum because they have a higher frequency (corresponding to shorter wavelength). Radio waves are still electromagnetic radiation (like visible light) but have much lower frequencies (due to longer wavelengths) and require much less power to transmit. Also it's very difficult to get a laser to retain the same dimensions at large distances as the beam divergence (for handheld lasers at least) is generally such that the beam will be over a meter in diameter once you get over a couple hundred meters. Even if it were to stay concentrated until it reached its destination, it would still need to be incredibly precisely pointed to hit that specific spot. Radio waves are easier to send off in all directions, or more commonly in the general direction and still have the information reach where it is going.