Animated GIFs do tend to be quite large in Arduino terms. Even one animated arrow or bullet point like you had during the Web's infancy on ham-handedly composed Geocities web pages twenty years ago could run you ten kilobytes.
It is only in recent times that animated GIFs have had a revival on the web, for displaying short live-action video sequences, now that we've got all that vast bandwidth compared to back then.
I guess you could read them from SDcard. But having seen how long it takes one single 128x128 image to load from SD, even as a .raw file, the Arduino would probably be out of its depth displaying quick GIF sequences of just a few milliseconds per frame.