Fluids are incompressible, relatively speaking, hence the pressure applied through the system is directly transmitted to the object which you want to lift. If you used a gas, you would waste a lot of energy compression the gas-hence the system would be inefficient. Compressible fluids store energy. A hydraulic machine using a compressible working fluid would be dangerous and also difficult to manage. Try attaching your hands to a lawnmower with springs and cutting the grass that way.
Gases are more compressible than liquids.
When you exert pressure on a gas, it can just scrunch down to occupy less volume. Liquids are not so compressible, so they can more reliably convert the motion of a piston at one end of the apparatus into motion of another piston at the other end. They tend to involve letting the air escape at the businesss end, while hydraulic apparatus heep the fluid in a sealed environment. Argonne National Laboratory, Division of Educational Programs, Harold Myron, Ph.D., Division Director.