Short answer: They suck and waste space. Also they waste your data plan.
GIF is a very old format. Very old. Late 1980's kind of old. Originally created when computers used mainly 16 colors, and having 256 colors in games and media was considered amazing. Suffice to say that per modern standards, they are awful. They take up A LOT more space. More than 10x in most cases.They are also limited to 256 colors, compare this to the usual millions of colors supported by mp4/webm.
Simply put; by using GIF you get less for more.
Here's an example:
This is a GIF.
It takes up 354KB (363,021 bytes) of space and bandwidth.
This is an MP4.
It takes up 33KB (34,294 bytes) of space and bandwidth.
Notice how the MP4 is more than 10x smaller, while still retaining pretty much the same quality.
This is of course just one (fairly bad) example. In reality, you could expect for example a 3 minute 720p video at 60FPS with sound, for the same (or less) space/bandwidth that you'd get a 480p GIF at 15FPS with no sound. Or, instead of watching 1 GIF, you could watch 5 - 10 videos with sound, while spending the same amount of MB on your phone's data plan.
All in all, GIFs are bad. MP4/WEBM is good. For everyone involved.
However if you do have a GIF you really, really, really want to upload, I suggest just using one of the hundreds of online converters available.
Just google "gif to mp4 converter" or "gif to webm converter".