I've never had a pie in the face, but I think the tickling is more embarrassing. Everyone who has a face is susceptible to having a pie thrown in their face, and it's possible to be unflappable and not let the pie shake your cool. If you manage to be chill and hold it together after the pie hits, the person who threw it is the one who looks stupid.
But there's no being cool or chill when someone's tickling you, there's no holding it together -- your responses are completely uncontrollable and wildly unsubtle (and kind of loud!). And not everyone is equally susceptible to tickling, which means a display of ticklishness can be perceived as a particularly individual weakness.