The long and short of it is distance. Although Cyprus doesn't look very far from Turkey – which is where most Syrian refugees travel to the Greek islands from – there is a very narrow, very short journey that they can take to get to what is considered Greece.
The reason why we see so many Syrian refugees die on this very short journey is because the boats they travel on are very overcrowded. The life jackets are often fake and the waters that they travel on, particularly during winter months, are often very choppy.
But the reason they don't go to Cyprus really is just a matter of distance.