Email servers reject it for being too large. Chat apps compress it, turning your crisp animation into a blurry mess. And if you want to put it on a website, you can’t just "paste" the file from your desktop onto the page. The internet doesn't know how to look at your personal desktop.
You might think you can just attach a GIF to an email or post it directly to Facebook. However, raw URL links are required for specific, powerful use cases: how to convert gif to url link