I think its both nostalgia and knowing the format means its around N pages, has an abstract and a conclusion, etc.
But what I find more calming about paper newspaper and magazines is how static it is (the web could be as well of course). No ads popping, no video ads, no chance the content will be replaced with a paywall in 5 seconds. Since I arrive on different sites from Google/Twitter all the time, I never remember which ones I actually have access.
Also: IRL "arriving at the thing" (say finding an interesting magazine in the doctors office) means that I can read what is inside. Unlike the internet nowadays ("you reached your monthly quote of 5 articles")
All of those things have been given interactive platforms in pre-internet settings: book clubs, museums, galleries and film festivals.
It's of course important to have the option to enjoy them by yourself at times-- but you can do this with games, too.
Nearly all visual & audio art can be presented in a game-like environment (such as a customized VR setting), so in a way a game engine is a superset of every piece of art in those categories. And they will all continue to exist, because part of art is confining your expression to a defined medium to intensify your focus on it.
Maybe because we don't all want everything "interactive" all the time.