The reason why functional languages like linked lists so much is because they are very easy to make immutable without a lot of pain all around. If you implement an immutable vector in a straightforward way, though, you basically need to do a lot of copying for any operation that needs to construct one (the rigmarole with immutable strings, and existence of hacks such as StringBuilder, is a good illustration of the problem).

But you can have a data structure that is more like vector under the hood while still supporting efficient copy-with-modifications. Clojure vectors, for example.