Since Jesus said that no one comes to the Father but through him (John 14:6), why do we not pray to Jesus?
Jesus is our high priest and intercessor (Heb. 4:14-16; 1 Tim. 2:5), and as such it is through him that we approach God’s throne in prayer (John 14:6). We address “our Father in heaven” in prayer rather than Jesus because Jesus himself directed us to do so (Matt. 6:9; Lk. 11:2).
Some point to situations in the New Testament such as Stephen’s address to Jesus during his martyrdom (Acts 7:54-60), Paul’s address to Jesus on the Damascus road (Acts 9:3-5), and Paul’s prayer to the Lord concerning his thorn in the flesh (2 Cor. 12:7-9) as scriptural precedent of Christians praying to Jesus. However, it needs to be pointed out that in Acts both Stephen and Paul were experiencing miraculous visions in which they had direct contact with Jesus. That is not the same thing as Christians praying to a God whom they cannot see and who does not converse with them directly. This miraculous interaction could also apply to the interaction between Paul and “the Lord” in 2 Corinthians. Another possibility concerning the 2 Corinthians example is seen when we remember that the term “Lord” is used in the New Testament not only in reference to Jesus, but at times to his Father also (2 Cor. 5:10-11; 6:17-18). Thus, it is possible that Paul was addressing the Father in 2 Corinthians 12. Even if he was conversing with Christ in that instance, it still would fall under the category of miraculous interaction which would not apply to us today. Jesus told his disciples to address their prayers to their Father in heaven, so that is what we must do.