Recovering the second stage is difficult because it's coming in from a much higher speed. The first stage came in doing about 2km/s. The second stage would come in doing 8km/s or more. That means 16x more kinetic energy to deal with and 64x more heating. You need a proper heat shield, not just clever engine burns. There's much less extra margin to play with as well. The second stage does most of the work but is much lighter, and one pound on the second stage is worth ten pounds on the first stage.
SpaceX definitely believes second stage recovery to be feasible at some point, but not on the current Falcon 9.
The dry mass of the first stage is approximately 25,600kg. At 2km/s, its kinetic energy is 51.2 terajoules. The dry mass of the second stage is approximately 3,900kg. At 8km/s, its kinetic energy is 125 terajoules.
So the KE of the second stage is actually about ~2.4x that of the first stage.
Here is were I found the masses of the stages: http://spaceflight101.com/spacerockets/falcon-9-v1-1-f9r/