Also, if you buy "colored", and eventually need to replace them, they can be slightly varied, and not matching. White is white is white. No varied tones.
Because they can be washed in bleach and hot water.
Because of the bleach, you don't have to worry about fading.
Same reason they all have white towels.
This.
Up until a few years ago the Royal Hawaiian hotel on Oahu had pink towels, sheets, robes, etc. They've since gone to white, but keep a pink and white striped beach towel for the guests to use.
All of our sheets/towels are white. So is the tablecloth we use most often. I really like being able to wash them in bleach and hot water. I'm guessing that's why hotels also use all white. I think white linens are simple, fresh and clean, and of course also easily replaced if needed.