Notably, Twitter also re-hosts opengraph thumbnail images via their image CDN (as would just about any other site or app that processes opengraph embeds)
It's also a privacy leak - the target page would get to know about every thumbnail view (a la tracking pixel). Although it's likely they only care about keeping that data so they can sell it for themselves, rather than actual privacy.
Like imagine the thumbnail were fetched every time a link appeared in someone's Facebook/Twitter feed. That could be tens of millions of hits easy.