Perhaps because you mistake the burning out of the match to be something you did? If you hold it upright (where the flaming end is facing upward) it actually burns out on it's own because heat travels upward, not down, and the material isn't durable enough to last as the flame consumes the stick. A candle uses a wick that keeps burning as the flame consumes it, it's because of the material that the flame does not burn out and it's because of the wax that the material isn't consumed so quickly.
Something like that. It's just my theory. It may also be that the match's fire is weaker whereas the candle's fire is stronger so it takes more skill to put out the candle.