I'm pretty sure this has been asked recently. Lungs are designed specifically to exchange gas with blood. They've got a huge amount of surface area to do this. Mammals have alveoli, and other vertebrates have parts that function similarly but the structures can be different. The big thing here is that the air sacs can expand when a breath is inhaled and there are a bunch of capillaries lining the air sacs that exchange gas through the cells in the air sacs. Gills don't really expand like that. They're flexible but they don't increase in volume nearly to the degree that lungs can. Gills are also very delicate and are dependent on the surrounding water for structural support. They can't do their job if the water isn't supporting them. They still perform gas exchange, but in the case of gills, the gas comes from the oxygen dissolved into the water. This also means that there has to be gas dissolved in the water or the fish will die from oxygen deprivation.