On the XenForo forums, this has been suggested in the past but is not currently an option and no extension appears to make it an option.
You can attach multiple files at once, but that's not the same.
So, it's probably a good idea, it's just not something likely to happen unless you're personally going to learn to write extensions for XenForo.
As a general rule, I just link to images when I post images here. I figure it saves disk space, which costs money. Though, for all I know, the software behind the scenes may just download said image and store it here. I don't actually know how that works behind the curtain.