They say this because gravity isn’t energy. Energy cannot be created or destroyed, but only transformed from one form to another. An arrow cannot have more energy than you put into it by pulling back a bowstring. Similarly, a falling rock cannot acquire more energy than it took to lift it in the first place. A spinning disk in a perfect vacuum may spin forever (true perpetual motion), but as soon as you connect it to a gear to do something useful (i.e., work), it starts slowing down as the angular momentum is siphoned away.
I happen to have a bumper sticker on my car (along with my SketchUp badge). This is an old saying that expresses the concept of conservation of energy much more succinctly.
The Greek letters spell out TANSTAAFL … as in There Ain’t No Such Thing As A Free Lunch.