Being a HV engineer, I know the mess that oil can make. It's not fun, especially if you're sent in to fix something!
Imagine in a datacentre full of air - to swap something in the middle you - have a coffee - wonder over - replace the thing - have another coffee.
In one filled with oil, you - look at the floor in dissmay - shut the whole centre down - drain all the oil (into a tank the same size as the data centre) - vent the atmosphere for several hours - put on protective gear - wade about in whats left of the oil - replace the thing - climb out - have 4 showers and still smell of oil - fill the centre back up with oil and finally turn it back on.
Basically, with air you get coffee twice. With oil, you get no coffee. Not good, not good at all!