This is not something that the coppermine dev team could address even if we wanted to: it depends on the image libraries coppermine uses to create resized versions of your pics: GD or ImageMagick. Both libraries now support GIFs (the GIF support was dropped in the past because of legal issues with the copyright holders for a compression algorhythm used in GIFs, but it returned some time ago), but they don't support animated GIFs. As the coppermine relies on either GD or ImageMagick to exist on your server (as minimum requirement), you'll have to use whatever you have on your server.
There have been requests in the past that we should support animated gifs (or even movies or flash files), but we just can't: that's something an app like coppermine (which is written in PHP) simply isn't capable of, that's why the libraries that do the actual image manipulation exist and are being used.
Joachim