[mobjack]

There are some privacy reasons for it.

A direct link from a search page will let websites see the search terms that users entered in to navigate there.

Google still knows everything so it doesn't protect you from them, but websites are more in the dark what users were doing before clicking the link.

[simcop2387]

And then Google aggregates that back to sides that use Google analytics so that they get both sides of the users

[niutech]

There is rel="noreferrer" for that.