Voicemails require an onerous synchronous process to access -- you have to go through your access menus, entering your PIN and some arcane set of numbers before you get to the message you want, and then you have to listen to it at the speed it was left, and press another set of numbers to keep it for future reference or delete it if you don't need to refer to it later (which may not be immediately obvious). If you save the voicemail, it takes longer to access other saved voicemails when you need to refer to them.
It's faster and easier to get an email, click it, and read/skim it, and let it sit in your inbox until you're ready to decide what to do with it.