Phones are generally seen as more secure because they're less likely to have malware and the apps should be running in their own sandbox, meaning it's more difficult to see what each app is doing and so theoretically it's more secure.
Most desktop operating systems do not have sandboxing in place, have known malware that could be installed much easier than on a phone, and harder to verify that the system is secure. This is doubly so taking into account that basically the only way to use the banking information is through a web browser, which could have any number of junky web extensions installed.
While things are incrementally changing on the desktop front (mostly on Linux with Atomic distros, Flatpak/Snap, and Firefox container tabs), most banks are only familiar with Windows and macos, and since those two have the most security risks, they'd rather play it safe with the relatively more standardized, theoretically more secure phone OS.