This is because it is a metal and a non-metal and they form an ionic bond. Here, the formula is because Mg loses 2 electrons Cl . on gains 1. So to balance the charges, there needs to be 2 Cl and 1 Mg.
Covalent bonds are formed when two or more atoms share electrons between them. So two chlorine anions form an ionic bond with one magnesium cation for form MgCl2, a neutral chemical compound.
