They said in their official statement[1] that it was to "block malware" but clearly they did not want to serve file traffic off-site. And yes I am very much in favour of using S3 or at least some file hosting service to dump the files where it's their job to do so. I am not sure why they were all using a chat application's file hosting as a CDN with gleeful abandon.

[1] https://www.bleepingcomputer.com/news/security/discord-will-...