In Conway's Functions of one complex variables (part 1) book , the definition of a path is written as : A continuous function $\gamma:[a,b]\to \mathbb C$ where $a,b \in \mathbb R, a<b$ is called a path and it is rectifiable if $\gamma $ is of bounded variation , i.e., $\gamma $ has finite length.
Now my question is : As $\gamma$ is continuous , $\gamma[a,b]$ is compact , hence closed and bounded so any path must be of finite length. But why there is another definition of rectifiable path.

Simply because it's not enough for a function to bounded & continuous to have that sum be finite, it must be of bounded variation. Recall that you are not changing the interval $[a,b]$ in the definition of $L_{[a,b],\gamma} ( \mathcal{P})$, it is the partition $\mathcal{P}$ i.e even though $\gamma$ is bounded, continuous, the variational sum i.e,
$$L_{[a,b],\gamma} ( \mathcal{P})=\sum_{\mathcal{P}} \|\gamma(t_{j-1})- \gamma(t_j)\|$$
may blow up as $\|\mathcal{P}^*\| \to 0$, where $\mathcal{P}^*$ is the supremum of $\|\gamma(t_{j-1})-\gamma_(t_j)\|$ (making the partition larger). For example, if we take any continuous curve $\gamma$ connecting the points,
$$ \left\{\left(\frac{1}{2n},\frac{1}{n}\right), \left(\frac{1}{2n+1},0\right) \right\}$$
then its variational sum diverges since $\sum 1/n \to \infty$. By definition the original function we defined is bounded, cts, but not rectifiable.