There are not constitutional rights implicated by the executive order. If he tried to exclude a US citizen, it would be different.
In point of fact they do, from the moment they first interact with the US government. The President can not exclude them from immigration opportunities that are available to others solely on the basis of their religion. Again, that isn't what Trump is trying to do. The plaintiffs are alleging this because, were it true, it would be a violation of their rights.