If yours got converted, then the server you're using, doesn't support drag and drop gifs.
Instead of drag and drop, upload the gif to some other server, that allows such stuff and use that link in the ![alt_text_here](image-url) format as given by @Riccosuave@lemmy.world.

For instance, the above comment has its GIF stored on tenor.com, which is less probably the default provider (for when you drag and drop) given by lemmy.world