It's because dynamic concave colliders are not supported in most physics engines, including PhysX. The math to calculate collisions against concave objects is *much* harder/slower/unstable than those against convex objects. So most engines don't even bother trying.
You can try to break up your object into convex chunks (maybe using the Element Fracture operator, if your mesh is multiple convex elements combined into one concave object), then attach them using a PhysX Bind operator.
You can try to break up your object into convex chunks (maybe using the Element Fracture operator, if your mesh is multiple convex elements combined into one concave object), then attach them using a PhysX Bind operator.