Bandwidth and storage become expensive when you use enough of them, and Lemmy instances are typically operated for free by individual volunteers who are stumping up all the running costs from their own pockets.

Because of this, many instances restrict what can be uploaded (type and size) and prefer people host videos and gifs on other services which are better set up to deal with it.

I’m not a server operator so there may be other factors I’m not mentioning here, but that’s at least part of it.