Adding a gif image to Keynote for macOS
Kevin is right. Not sure why Keynote wants to copy a link to media on drag from websites. Something to do with copyrights and attribution, I'm guessing. I'm not sure of your skill level, so I will try to be detailed (which may help someone else, as well).

Right-click (or control-click) the image you want. Choose 'Save image as...' and change the name of the image before saving. It appears the images on the site are named dynamically 'giphy.' Then, in Keynote, use the Media button to select 'Choose.' Navigate to the image and [insert].

Unless you want a big play button on the gif (or if the gif is not animated), you likely need to change the image's behavior in Keynote. Make sure the image is selected (if not, click it once) and on the right side you should see a few options. Click Movie and deselect the last option: 'Start movie on click.'