Pharmacy whitening kits are not customised to fit your teeth snugly. That means that whitening gel may leak onto your sensitive gum tissue and cause side effects. Many whitening toothpastes are abrasive and also cause sensitivity.
The strength of the whitening product is much lower than what you can get in a professional kit, meaning that you must use the product for a longer period of time and are still unlikely to get the results you can find in a professional product. Additionally, your results are not being monitored by the dentist you know and trust.