Aside from some of the other responses people have given, some of it could be cultural. Some might shun magic just because of the stigma. Technically, a lot of “magic” has ended up blowing up the world.
But from a more practical sense? A mage (stand-in for “magic user”, not the class, specifically) is always going to be limited by whatever rules govern that kind of magic. A connection to the Light, or the Void, or the elements, or nature, or something like that. If that’s not present, then they’re left with whatever they have left. And most mages skip leg day, if you catch my drift.
A warrior, though? It doesn’t matter. You can take away their enchanted armor, their thrice-blessed titanforged sword, and their aegis crafted from the scales of the Ancients. You can take away their Stormwind-issued shield and sword. You can take away whatever they found on some gnoll or kobold, whatever third rate outfitting they found that they found in desperation. You could take away all of that, beat them unconscious, and leave them in chains. Because even in that state? They could still tackle you and choke you to death with those shackles.
Magic is a crutch. And you can walk on your own feet.
Aside from that, someone culture can venerate combat. Orcs and dwarves do, I think. And there’s nothing like punching a mage in the face, right?
Joking aside, there are plenty of instances of mages getting taken down by “mundane” weapons and fighters. Remember, magic doesn’t automatically make blades bounce off of your skin…except when it does, because magic is weird and finicky.
That’s another reason. You swing an axe made by and elf, a dwarf, a Tauren, an orc? It doesn’t the same thing. You ask a mage, a warlock, a shaman, and a druid to start a fire? It’s always some different thing. There’s no consistency. Even amongst them, there’s no consistency. Can you put out that fire, mage? No, I’m a mage that makes fires. Can you teleport us somewhere else? No, I’m a warlock, I can only summon, not send.
Warriors can depend on strength and steel, on training and temperament. They’re the first ones in, the last ones out, and part of a legacy that’s greater than themselves.
That’s a reason, I guess?