Helicopters by definition require a power-to-weight ratio >1 and are inefficient compared to fixed wing aircraft, let alone e.g. trains. They're loud, dangerous (comparatively speaking) and inherently expensive. Tall walls can cause them to crash (c.f. vortex ring state) as can the weather.

A subway has none of these disadvantages, with the advantage of serving ~1.5k people at once as opposed to ~15, and the ability to not conflict for surface space.