Because it's (semantically) definite ("this lion" is a specific lion, not any old lion). Any noun used with "this" or "that" is implicitly definite. In English, that means you don't need to use the word "the" because it's essentially redundant. However, in Arabic, "ال" always has to be present if the noun is semantically definite.
(Note that if you said "هذا أسد" it would mean "this is a lion")
In English, if you use "this" or "that", it takes the place of "the". In Arabic, both have to be used at the same time.