From here, which is a sort of flaky looking site but their reasoning for radio use seems sound:
“Why use radio?
“Radio signals travel throughout most of our Milky Way galaxy with very little interference. They even pass through thick clouds of dust that prevent us from seeing many stars. Most scientists who have looked into the problem of communicating between stars believe that radio is the easiest and cheapest way to search. Some think that light waves are better, and there have been a few searches looking for light signals—optical SETI, or OSETI programs. But most SETI projects have looked for radio signals.
“Wouldn’t an extraterrestrial civilization use something far more advanced than radio with which to communicate?
“It’s entirely possible that there is some unknown method of communicating, and that radio may seem as primitive to aliens as smoke signals do to most of us today. However, we can only use the technology we know. Even if a more advanced method of intergalactic communication exists, an extraterrestrial civilization might choose to use radio because it is the most primitive method able to communicate across the galaxy, perhaps increasing their chances of contacting other civilizations.”
And, if you want something a little less flaky and more scientific-looking, here you go.