There were two reasons. First was security. Churchill knew what Bletchley Park was doing and figured the Germans were doing the same thing. They were.
“At first the Allies tried to protect essential voice traffic with the A-3 voice-scrambling system developed for its commercial telephone users by AT&T. Based on 1920s analog technology, it was not nearly secure enough for communicating military secrets.”
“Well aware of A-3’s shortcomings, American and British signals experts insisted that the voice link only be used with carefully controlled code words, so as not to reveal pending plans and operations to enemy listeners. Many senior commanders who telephoned often forgot the warning, only to be reminded by a censor interrupting their call. In a March 1942 memo to Churchill’s senior staff, the Cabinet Secretary, Sir Edward Bridges, warned of the dangers of unguarded reliance on transatlantic radiotelephone service.”
“The fame of Bletchley Park obscures the fact that the enemy was listening, too, and also had its technical wizards. Germany’s Deutsche Reichpost had established a listening station on the Dutch coast by early 1941. German Intelliegence developed technical means to detect Allied transatlantic signals, and eventually could decode their content as they were being sent. Captured records at the end of the war showed just how good the enemy listening activity was: The Germans had recorded complete transcripts of many calls between senior Allied military figures, and even some between Churchill and Roosevelt.”
The second reason was effectiveness. Churchill was one who believed in the sheer will of his personality. If he were there with you, he could win you over. President Obama had the same belief. Churchill felt that by using the telephone, he lost a lot of his advantage. That was one of the reasons why he insisted on coming to Washington immediately after Pearl Harbor. He did not want to risk having the discussions by telephone.