JSFiddle - React, Tailwind, and code Playground

HTML

<ul class="side_menu" id="sideMenu">
  <li class="list_header">
    <p class="list_p">REVIEWS</p>
    <ul class="sub_list">
      <li class="sub_list_item" style="padding-top: 0px !important;">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-layer-group padding_right"></i>
                    All Reviews
                  </a>
      </li>
      <li class="sub_list_item">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-thumbs-up padding_right"></i>
                    Best Albums
                  </a>
      </li>
      <li class="sub_list_item">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-thumbs-down padding_right"></i>
                    Worst Albums
                  </a>
      </li>
    </ul>
  </li>
  <li class="list_header">
    <p class="list_p">GENRES</p>
    <ul class="sub_list">
      <li class="sub_list_item">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-music padding_right"></i>
                    Dub
                  </a>
      </li>
      <li class="sub_list_item">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-music padding_right"></i>
                    Electronica
                  </a>
      </li>
      <li class="sub_list_item">
        <a href="https://www.facebook.com" target="_blank" class="sub_list_link">
                    <i class="fas fa-music padding_right"></i>
                    Grundge
                  </a>
      </li>
    </ul>
  </li>
</ul>

CSS

.sub_list_item.active {
  background-color: yellow;
}

JavaScript

const listItems = document.querySelectorAll('.sub_list_item');
const listLinks = document.querySelectorAll('.sub_list_link');

function setActiveClass() {
  if (document.querySelector('.sub_list_item.active') != null) {
    document.querySelector('.sub_list_item.active').classList.remove('active')  
  } 
  this.classList.add('active');
}

listItems.forEach(item => {
  item.addEventListener('click', setActiveClass);
});

listLinks.forEach(link => {
  link.addEventListener('click', e => e.preventDefault());
})