Arxiv is by its nature open access; Arxiv does not charge for access.
On the other hand, the articles that this site hosts require payment to access. The journals typically charge $30 / article, or roughly $2,000 / year subscription.
Note that for both the open access or paid journals, researchers do NOT receive any compensation when users download articles. That is, despite the research being mostly paid by taxpayers, a PRIVATE company receives compensation for the work done by the researchers. Not only that, but the researchers have to PAY a publication fee, and that fee is higher if they want to allow open-access.
Not only the researchers do not receive any compensation, they actually need to PAY the publishers hundreds of dollars minimum to get their work published.
Because the arxiv is a place that hosts free pre-prints. By contrast, sci-hub is a way to get normally expensive articles for free. Arxiv stuff is already free.
Arxiv is a voluntary service where authors upload their own papers. It covers a few hundred thousand papers, probably, since authors have to know about it, want to use it, and have copyright service; it covers only a few areas of science where Arxiv use is in vogue, and only from the past decade or two.
Whereas, SH/Libgen acquire copies of tens of millions of papers from everyone everywhere everywhen.
It's the difference between a local library and the Library of Congress.
Arxiv is a place to host scientific articles for free. Journals are institutions that scientists submit articles to, get them reviewed, published, and then charge a fee to access them. Sci hub takes the papers in the closed access journals and distributes them online for free.