Reason?

You mean Cell Phone # right?

Only an issue if you keep funds with exchange, and not in cold self custody.

Ideally you don’t want an exchange having your # in their database period.

I no longer use exchanges, but why?

Point of clarification. I'm pretty sure you mean DON'T use SMS. A TOTP mobile app is fine. Just remember to securely back up the QR code key image!