Because SMS may not arrive. E-Mails may be delayed or blocked by spam filters. You may not have e-mail set up on the device you're trying to log in from - so what will you do with a link on another device?

Meanwhile, a password is something you already have at hand and works instantly.

Recently tried 3 weeks to setup Slack because it's magic mail did not arrive. Was even unable to reset the password. We just gave up and used another e-mail service provider and created a ned account.