Patched Sur
Personal Hotspot
I don't know why this doesn't work, but it also does.
Patched Sur does tell you that personal hotspots won't work, but that's mostly to clear up some confusion because there are apparently workarounds, but it's not something I can put into code and run. I haven't actually tested either of these because my data plan doesn't allow for personal hotspots (I never need them anyway), so you can try them, but I can't guarantee anything.

Turn Off Bluetooth

This is the one of the two methods that makes the most sense and I believe is the most likely to work. Mykola suspects that this works because of a problem with the "handshake" made between the iPhone and Mac, and turning off Bluetooth stops this handshake from happening in the first place.

Using Somewhere Else in System Preferences

This is the weird one, I'm not sure why this works (or if it works, again I have never tested it), but apparently it does.
  1. 1.
    Open System Preferences and go to Network
  2. 2.
    In the WiFi section, click on the Network Name picker
  3. 3.
    Select Join Other Network
  4. 4.
    (This is going to sound redundant, but keep following) Click Show Networks in the corner of the popup.
  5. 5.
    Select your iPhone's name and click Join
If that works for you, great, you can now question everything about that process and how Big Sur handles personal hotspots.