It is bad because Linux manages libraries much better than Windows, and prefers shared libraries to static ones.
It is bad also because you can't include a library into a static one, so to compile your program you would have to link against the SFML libraries plus all the external libraries it is using (xlib, xrandr, freetype, openal, libsndfile, ...).
I guess you can put the binaries together with the executable (never tried), but the best solution is to make a package that will install properly both your game and all the external libraries.
But please don't ask me how to do this :lol: