Using a heavy machine gun is more of a "high risk, high reward" type of thing. It doesn't kill instantly like rocket launchers but potentially gets you more kills than rocket launchers.
Typically you get 4-5 kills from a rocket launcher if you are good. But 7-8 kills with a machine gun if you are good. That's potentially 16 kills you get from heavy compared to 10. But again, rocket launchers are more reliable at getting kills.
I use machine guns.
[spoiler]The better question is why use Gjallarhorn in the crucible. PvE guys are really annoying with their stupidity.[/spoiler]
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I use Gjally depending on which character I'm using. Most legendary rockets suck so it's either Gjally or Truth. Sometimes HoC if I want the exotic slot for something else.
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Ghorn is awesome in pvp with the proximity detonation.
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Truth is better in PvP though.