Short answer: It's a law called the CAN-SPAM Act which requires email list senders to include an unsubscribe method.

As with all laws though, it just gives the scammers a framework that allows them to dodge the law. The most common dodge I've heard is that they use the fact that you clicked on unsubscribe to confirm that you're a real person so that makes your contact information "verified" and they can sell it to another "business" to still make a profit off you. If they're a more reputable company, the link should actually work and help you remove yourself from the list.