There're many reasons that Search Engine Marketing professionals generally prefer SEO over link building:
1) Page authors have 100% control over page content, but virtually have no control over external backlinks.
Backlinks or incoming links are links from another web pages to your web page. It is believed that external backlinks are valued
more than internal backlinks when it comes to rank search results on search engines.
2) A very small percentage of Web pages on the net are properly optimized or search engine friendly (my estimate is less
than 0.1%). This means that there're too much room for your ranking improvement by SEO.
3) The conversion rate from specific search terms has been proved to be much better than the one from
generic search terms. There's no reason to allocate most of your resource to push your PR7 to PR8 to compete for generic search terms,
while most of your pages can be ranked well with PR4 or PR5.
4) Page Optimization is challenging and interesting, while link building is boring and frustrating.
More and more pages will be optimized within a few years. To compete for high rankings on search engines, SEM pros
may have to shift their focus from SEO to link building and other ranking factors.
How Search Engines Work - Crawler, Indexer and Query Server
Keyword Popularity on Google - an Online SEO Tool
Website Classification for Search Engine Marketing
Increase hits - Build Web Site Traffic from Search Engines
Website Traffic Services
Link Building - Driving Traffic and Boosting Search Engine Rankings