There is a misconception that Azure PowerShell works only on Windows and Azure CLI works everywhere. This is not true. PowerShell (not Windows PowerShell) is based on .NET Core which is cross platform. We can run PowerShell on Windows as well as on Linux. Both Azure PowerShell and Azure CLI runs on Windows and Linux.

Which option you will choose depends on your personal preference and from what background you are coming. If you are already working on PowerShell then Azure PowerShell should be your choice but if you are more like a person who works with for example Bash, then Azure CLI will be a good option for you. Also sometimes people find Azure CLI commands are more easy to type and remember.

This is a personal preference.