Grease decreases the friction between the surfaces in contact. While climbing up the pole, a person uses frictional force to hold himself or herself on the pole. So, as the friction is lessened, the person may not be able to hold himself or herself on the pole anymore. Therefore, it is difficult to climb on a greasy pole.
In simple terms, it is difficult to climb on a greased pole because when we climb a pole there should be a force of friction which helps us to climb the pole and due to grease present on pole it decreases the friction to a very low point. So, we are not able to make a grip on the pole hence making it difficult for us to climb.