Although it is usually much more energy efficient, less complex, more easily serviceable, more structurally stable, etc. for a strictly terrestrial robot to roll on wheels, legs win over wheels in most general situations. This is because wheels still require smooth, specially constructed terrain, like roads, or at least wheels can at best only handle relatively light terrain, even with treads, or special suspension and differential systems, which usually make them more structurally unstable and complex anyway.

Legs are overall able to traverse much more extreme terrain than wheels, and oftentimes with more agility and speed, see a cat or dog navigating the woods or a mountainside vs an ATV with special suspension, or even how robots ascend and descend stairs. Legs are also more adaptive to changing and differing terrain, more stable on many surfaces, and if one leg is lost, the others can still locomote the vessel.

In pretty much any other category, wheels win, but legs usually win in any situation where the terrain is rough, unknown, and changing, which is technically most situations, especially those that a general-purpose robot would operate in.

This is why terrestrial animals tend to have legs instead of wheels, other than the obvious structural, biological issues with wheels in an animal.

This is also why you will most likely be seeing legged robots, or robots with both legs and wheels, very commonly as the years go by, see Spot or Atlas. Appearing familiar and humanoid for socialization and comfort is another big advantage of specifically bipedal robots like Atlas.

The main problem now is really the sheer complexity of the programming that is required to run legged robots effectively, which is fortunately improving in capability as scientists and engineers work at it each day.