Here's a hint: Nacon, their licensee, has something to do with it.
The Sinking City by Frogwares

The Sinking City, the Lovecraftian inspired horror/investigation game that we talked rather favorably about in our review, has been missing from multiple storefronts. You are not able to find the game right now for sale through Steam, Epic Games Store, the Xbox One, nor even the PlayStation 4. A statement published today by the game's developer, Frogwares, details just what happened.

In short: The studio had to terminate their contact with their licensee due to "several breaches of our agreement." Their licensee, Nacon (formerly Bigben Interactive), is accused of not paying royalties to the tune of "roughly 1 million euros." There are also claims of misleading marketing in which Nacon tried to suggest that they were the game's developer and not Frogwares.

These legal battles have been going on since the release of The Sinking City back on June 27, 2019. Here is a brief on the reasons behind the game's disappearance. This is from a longer letter from Frogares that was shared with the community today.

"The reason is a bit complicated, yet at the same time, quite simple,” reads the statement. “Short version: We were forced to terminate the contract with our licensee for several breaches of our agreement. We urge you to read this open letter to our fans, journalists and people of the industry, to understand why this is happening and how you can still get The Sinking City."
A bulk of the letter details the legal dispute between Frogwares and Nacon.

(Edit at 7:39PM (ET) on August 25, 2020: Changed "publisher" to "licensee")