These days, most of the traffic is from mobile. When links open on new tabs, a user has to switch tabs to come back to the original page. Switching between tabs annoys most users.
SEO or not, annoyed users aren't good for any website. Some even remember the poor experiences that a website offered in the past. In the future, they may turn to competitors in SERPs. After all, the ultimate goal of SEO is traffic and repeat traffic.
Note: There could be genuine reasons for some links to open in new tabs. Even then, explicitly informing users that a link will open in a new tab is a good practice.