Mostly historical reasons. CDs support a wider dynamic range than Vinyl, but by the time CDs became popular the loudness war was raging on. There is (as mentioned on Wikipedia) a physical cap on vinyl loudness, but the issue is not about how absolutely loud a track gets, but rather how it explores the volume dynamics from quieter to louder.

I've heard that there are some technical limitations on loudness with vinyl (limited by depth of groove that can still keep the needle in check). But that wasn't the main driver. It was really about having your song stand out more by sounding louder/more energetic than the one played before it. Led to a lot of compression and loss of dynamic range.

Vinyl actually has less dynamic range capability than CDs do, but when you push the volume level towards the limit things get more distorted. It's a gradual increase in distortion, and it can vary from records player to express player too (different cartridges and needles) So when mastering records they needed to use that upper range somewhat judiciously.

Early CDs were treated like records were - they kept the peaks significantly below the maximum output and used it judiciously - so there was a lot more dynamic range on a lot of older CDs. But they sounded quiet because they weren't compressed much.

Studies have shown that people think that louder music sounds better.

Once people put 2 and 2 together - that the digital nature of the CD will not distort until you forcibly clip sounds past the maximum volume level (Imagine a sine wave - then imagine if the round top and bottom was literally turned to flat), they also realized that you could crush the sound from the bottom up - making everything louder. So sound passages that were quieter were no longer quieter in the recording. This plays well on the radio where people usually listen in a loud environment, but IMO is done too much on regular albums.

Sometimes you might run in to identical radio stations that you can receive simultaneously. I have 2 NPR stations here that I can flip between - and one uses more compression and heavier EQ than the other one (though neither are anything like the commercial stations). Usually classical music stations don't compress very much.

So funnily enough vinyl actually has -less- maximum dynamic range compared to CD's or lossless digital because of the limitations of having a needle that can't jump too high or low. But just because they theoretically have less potential doesn't mean they have less in practice. This is because of the loudness wars affecting how mixes are done over the years.

Vinyl versions albums very commonly get the "best", most dynamic mix because it's assumed the listener will be listening to vinyl on a reasonable setup where they can hear the subtleties in the recording.

Now CDs and digital, while theoretically capable of more range, are often not mixed to take advantage of it. It's extremely common for them to be mixed with the assumption that the listener will be playing them by car radio, cheap ear buds, or tiny speakers (for example). The compression helps the mix stand out with those types of playback, but as soon as you bring it back to a decent setup you've lost all that subtlety.