Why it is not " il leur va téléphoner" instead of f "Il va leur téléphoner.'?

There is an exception (affirmative imperative reverses the order to verb-object pronoun), but otherwise object pronouns precede the verb they are associated with.

Object pronouns go before the infinitive as the pronoun here represents the object of the infinitive verb, not of the conjugated verb preceding it. 

This is different to the placement in compound tenses, where the object pronoun is the object of the “compound verb” not just the participle and it is placed before the conjugated auxiliary - avoir or être. 

Position of French Object Pronouns - with infinitives

In short, pronouns gravitate toward the infinitive.