Follow is a transitive verb, while subscribe is an intransitive one (in the usage you mentioned; you can also subscribe someone/something, which would be a transitive usage, but that means something different). Some verbs are transitive, others are not. That is all. And it's not something peculiar to English, either, as those Wikipedia articles on transitivity demonstrate.
Now, this is rather a description of than the reason for the current situation, but that's because there really is no particular, universal reason for a verb to be transitive or intransitive — as demonstrated by the fact that the very same verb can be transitive in one language, and intransitive in another.
When you look up a verb in a dictionary, it will typically be mentioned in which meaning or in which situations it is transitive or not, and which prepositions are a good fit in the latter case.