Even in an urbanized setting you can usually find a tree worth climbing. On the other hand, rock climbers need a chunk of solid rock to climb, cavers need a cave, canoeists need water and so on. There is no need to build an expensive structure. Rope courses, climbing walls, and alpine towers are expensive to build and maintain. They have to be continually inspected for defects because the structures are man made.
Trees are well adapted to outdoor conditions because that's where they live.
Tree are alive and natural. There is something about getting outdoors and being related to a part of the environment that resides there. Trees are cool in the summer and warm in the winter sunshine. It's like climbing under an awning during the hot months. Winter comes along and the awning is taken down to let in the warm sunlight.