I think it is because of the stress in the sentence. "Jemu" is a stressed pronoun but "mu" is not stressed, it is a clitic. This is more general when there are two forms available, one monosylabic and one longer.
So when the position in the sentence is stressed, you use "jemu", if it is unstressed, you use "mu". Usually the unstressed position is right after the first stressed word.
The position of "mu" in "Řekli jsme mu to." is unstressed. You can use "jemu" in stressed position at the begin, or at the end: "Řekli jsme to jemu.", "Jemu jse to řekli."
You can modify the stress by adding words like: "To jemu jsme to řekli!", "Tak jemu jsme to řekli!" and this way you can get stress to the second word of the sentence and you use the longer form.
In English, with the verb "to tell", we can say "We told him THAT", but with "it", we have to say "We told it to him".
With the verb "to say", we have to say "We said that to him" and "We said it to him". (That is, you can "tell" someone something, but you can only "say" something TO someone.)