F# (and other FP languages, like Scala) have standard libraries which come with (and are built around) persistent collections (immutable collections, but with smart structural sharing when doing copy-on-write). And all the other libraries and the whole community is designed for Functional Programming.
There are also other aspects, that FP languages like F# or Scala tend to have shorter and prettier syntax. And many of the FP idioms are easier to express in these languages. Good example would be ADTs (algebraic data types), or Computation expressions in F# and its analogue in Scala for-comprehension. But these are more subjective reasons than my former point.
Unless f# has massive advantages over c# when it comes to functional programming, I would say this paradigm is not worth it in 90% of my programming projects.
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Sounds trivial but it changes everything.