Because social media site algorithms feed on "engagement", people interacting with your content rewards you in the form of your content becoming more visible to others, which results in more engagement, which spreads it further, etc etc etc. This is how something "goes viral".

Sending people away from your content on the social media site to view it somewhere else results in less interactions with the social media content -- there's not 20 tweets all of which can be replied to, liked, retweeted, etc, there's just one tweet (and a blog post that the social media site can't see).

Thus, giving people less things to interact with means that you'll receive less rewards. This is the "punishment".