Cellulose is indigestible by animals because they lack the enzyme Cellulase.
Cellulose is the polysaccharide which is the main constituent of plant cell wall. It consists of chains of glucose monomers. Animals like human beings lack the enzyme Cellulase which is necessary for the digestion of cellulose.
Hay and grasses are rich in cellulose and therefore, both are indigestible by human beings. Animals like cows and horses also do not possess the enzyme cellulase, but they harbor microbes which help in the digestion of cellulose.