Concentrate on this one:
A finite automaton (which is the data structure underlying a regular
expression) does not have memory apart from the state it’s in, and if
you have arbitrarily deep nesting, you need an arbitrarily large
automaton, which collides with the notion of a finite automaton.
The definition of regular expressions is equivalent to the fact that a test of whether a string matches the pattern can be performed by a finite automaton (one different automaton for each pattern). A finite automaton has no memory – no stack, no heap, no infinite tape to scribble on. All it has is a finite number of internal states, each of which can read a unit of input from the string being tested, and use that to decide which state to move to next. As special cases, it has two termination states: “yes, that matched”, and “no, that didn’t match”.
HTML, on the other hand, has structures that can nest arbitrarily deep. To determine whether a file is valid HTML or not, you need to check that all the closing tags match a previous opening tag. To understand it, you need to know which element is being closed. Without any means to “remember” what opening tags you’ve seen, no chance.
Note however that most “regex” libraries actually permit more than just the strict definition of regular expressions. If they can match back-references, then they’ve gone beyond a regular language. So the reason why you shouldn’t use a regex library on HTML is a little more complex than the simple fact that HTML is not regular.