B737 pilot reported they rejected takeoff after Tower cancelled their takeoff clearance due to conflicting traffic landing on the intersecting runway.

Narrative

Aborted takeoff at around 40 kts. as directed by ATC. We were in a position to take off on Runway XX for a few minutes. ATC issued a takeoff clearance on Runway XX stating an aircraft is on 1.5M final on Runway XY. We had initiated a takeoff immediately. ATC call to abort the takeoff. We taxi out of the runway. We issued a line-up and wait on XX again with a remark be ready for takeoff. We were issued a takeoff clearance; stating again; an aircraft on 1.5M final on XY. We initiated a takeoff immediately. ATC directed the airplane landing on XY to go-around.ATC must understand that most jet aircraft; especially 737 NG; take a very long time to spool up the engines. Even if we initiate the takeoff immediately it is not instant.