To me the main reason of Harry rejecting Horcruxes is the "anti-Dark Lord Harry program". Harry is trying hard (and with relative success) to prevent becoming a Dark Lord, and rejecting a way to reach immortality for some at the expense of killing others is a way to refuse the Dark Lord path. Harry (in my view) doesn't fully trust himself to wield raw consequentialism, and he respects ethical injunctions like "murder is just wrong" (at least when he's just a 11yo boy and still afraid of becoming a Dark Lord).