Why are protist so difficult to classify?

Mostly because the 'Kingdom Protista ' is defined by what they are NOT. (e.g. not plants, fungi, or animals). Most are single-celled, some are colonial, and some multicellular. Some are photoautotrophic, some ingestive heterotrophs, and some capable of both modes of nutrition. In other words, there is a lot of diversity between 'protists' - some are closer to animals, and some are closer to plants. Research in molecular biology has helped clear up some of the confusion, but protist classification is an ongoing process.

What do you mean about innate behavior i don’t get it