
"Open up any industrial lubrication maintenance manual or a tribology textbook, and look for the chart on when to use oils vs. greases. The grease column always looks like a step-by-step description of guns."
~Cherry
Educate yourself - Differences in Lubricants

Engines are sealed, complex systems largely engineered around the advantages oil has as a lubricant - they maximize its properties by using filters, pumps, and reservoirs to remove and minimize friction.
Lubricant Selection
Lubricants are as varied as ammunition and guns - each will have a generally ideal application for which it has been developed. Some may have broad cross-over use, while others may be incredibly obscure and narrow in application. Similarly, expecting a lubricant developed for padlocks or wheel bearings to work just as well in a gun is like expecting a pellet gun to be good for pheasant – it might work, especially if the operator is cognizant of limitations, but there are consequences in selecting that tool for that job.
The nature of the machine at hand categorically dictates the type of lubricant to be used. This is Day One, fundamental lubrication maintenance training. A given machine's operating dynamics - how its parts move and work together - are the core of what is being assessed, and will be what a tribologist or maintenance specialist will focus on in determining the best lubricant for the job. Choose lubricant poorly and parts can be obliterated quickly. Choose wisely, and machines can last decades - many of our top commercial ammunition manufacturers still use machines built for our arsenals during World War II, that have simply been properly maintained.
And at its most basic, lubricant selection comes down to grease vs. oil.
Grease Vs. Oil
The short version of the difference between grease vs. oil, is this: Oils are designed to flow, and to pick up and suspend friction contaminant. Greases are designed to stay put, and trap contaminant out of friction surfaces.
Machines designed to use oil are designed to take advantage of oil's specific properties, using pumps, filters, and reservoirs to flow fairly high volumes oil to achieve not only hydrodynamic lubrication, but to also take advantage of oil's ability to remove friction contaminant. This includes heat, as cooling is a major role of oil reservoirs.
Machines using oil are also often operating at much higher speeds, for much longer periods, than those using grease. They also generally operate in the same direction to maximize the ability of parts to remain in the hydrodynamic regime. That said, some situations of potentially high load, especially shock loading, may see grease used in higher speed parts, such as wheel bearings.
However, the key drawbacks for oil as regards guns and other unsealed machines, begins with this property of flow - to varying degrees oil both drains, and 'crawls' and thins out, causing it to dry out quicker. Not only will it drain with gravity, it will flow away from the violence of friction surfaces in unsealed machines. While certain oils may last longer than others in unsealed machines like guns, this property of flow is simply a reality of physics, and guns maintain no place of exemption. Even when a light sheen may remain, the volume of oil necessary to reach hydrodynamic lift will have been lost with time, cycling, and oxidation.

Lots of people have experience changing their own oil - they also often know machines using oil not only have reservoirs, but that FAR more oil is used than grease. Orders of magnitude more.
Grease, on the other hand, is designed to stay put - and to help serve as a "poor-man's sealant". Outside of the gun world, you'll virtually never find an unsealed, sliding machine that uses oil - this is quite simply because oil will flow out of an unsealed system, and will have a strong tendency to also suspend friction contaminant and migrate it into unsealed friction surfaces. Additionally, the slower a machine is, the more load it is under, the greater the 'sheer forces' common to sliding parts, and the greater the instances of 'shock loading', the more likely a machine is to use grease. And finally, for several reasons, greases simply last far longer in the exposed air. For these reasons, unsealed, sliding machines, which may go for long periods without mechanical activity or maintenance, almost always use a grease.
The following is a simple guide to help determine whether to use oil or grease in any given machine - it is a guide you may see in any lubrication maintenance manual across the globe:

A chart similar to this may be found in virtually any basic tribology textbook, or lubrication maintenance manual. Regardless of where you might find one, the grease column almost perfectly seems to describe the operating dynamics of guns.
As you can see, the column on the right is nearly a step-by-step description of the operating dynamics of guns.
While we want to stress that oils can lubricate guns, and that virtually any oil is critically important to use over running your gun without lubricant, it's worthwhile noting several of the reasons why oils are far from the most appropriate lubricant for guns: