Because a company can revoke your access to the chat at any point in time.
It's a one-sided paper trail.
You can have an offline copy of emails and you can BCC them to your personal account if you want.
You can have an offline copy of emails and you can BCC them to your personal account if you want.
If you are willing to violate that rule or the message affects your work contract which you are of course allowed to archive at least in zulip chat that's very simple (for a software person). They have a straightforward REST API. IIRC you can even choose between markdown source and HTML rendered output.