Taxonomies are not associated with attachment post types by default.
(The attachment post type is what we generally know as “media”)
However, it is relatively easy to add taxonomies to media, if you really need them (it would be questionable how and why you’d use taxonomies on media, since no query or loop will generally display media or attachments [by taxonomy])
For example, this blogpost goes thru several possibilities to add taxonomies to attachment:
https://www.wpbeginner.com/plugins/how-to-add-categories-and-tags-to-wordpress-media-library/
Thus, this plugin might be what you are looking for:
https://www.ads-software.com/plugins/wp-media-library-categories/
There are of course also more elaborate ways, such as using PHP and WordPress hooks, which would be the way to go if you feel comfortable with custom code.