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.