Dear student,
Multicellular organisms are much more complex than unicellular organisms, they are having specialised tissues for different functions. Diffusion is not sufficient to meet the required level of exchange the gases from surface to the site where oxygen is needed. In multicellular organisms, all the cells are not in direct contact with external environment, and the range of diffusion is not too far that all the cells beneath will get sufficient amount of gases. That's why diffusion is not sufficient for multicellular organisms.
Regards.