This is because search engines consider links important, and the words in the link are considered to be what the link is about. We’re talking computers, automated ‘bots’ and spiders, and algorithims here. They’re fast, but not too smart, yet.
So, if you have a link, and the text that is linked is ‘click here,’ that’s what the search engine ‘bots’ will think the link is about. Not very helpful……Now, this obviously helps out the site you’re linking to, because you’ve just created an association between some search terms, or keywords, and a website. This is what search engines live for. But search engines also consider that, because you’ve created a link, that your content is about that, as well.
Sometimes it’s tough to work this ‘anchor text’ into the link. But give it a whirl, copy-writing for search engines is a learned skill.