Why they use Depleted Uranium in the anti-tank shells?

Some are. Depleted Uranium is great for making the cores of armour-piercing rounds.

It’s harder and denser than lead, but the most attractive characteristic is that it’s self-sharpening. Basically, most bullets disintegrate or squash when they hit a hard object.

However, a hard impact doesn’t squash depleted uranium bullets like this. Rather, it shaves material off the side, almost like sharpening a pencil. So as the bullet penetrates deeper and deeper, it retains its shape and minimizes the resistance that a squashed bullet would have. That’s why depleted uranium is popular for use in the anti-tank shells of the M1 Abrams.

It’s very expensive though, and illegal for civilians in most parts of the world