In the film "Citizen 4", it's said that we cannot encrypt an SD card. Do you know why it would not be possible?
I think you're mistakenly recalling the movie. In Citizenfour, Snowden warns the journalist on the risks of leaving a SD card unencrypted on his laptop with sensitive documents on it. He never says that SD cards cannot be encrypted. In fact, as the other answers point out, you can encrypt a SD card just like any other mass storage device.
Encrypting SD cards is a little trickier than encrypting the contents of a typical (spinning) hard drive, because the SD controller typically implements wear-leveling to ensure that no on cell gets too many writes.
Practically, it means that if you read from the card, encrypt, and then write to the card, you will be likely writing the data to a different location from where you read it, meaning that the original plain text will still be on the card.
For sure you can encrypt an SD card, using appropriate software; there's no difference between encrypting an SD card, a hard drive, SSD, thumb drive and any other kind of memory card. For example, newer versions of Android have implemented such a feature.
I don't exactly remember the scene in Citizen Four, but I can only imagine it was about the practical use of encrypted SD cards. You will barely find a camera that supports saving to encrypted SD cards, as they do not implement any of the available solutions. To encrypt the SD card, you'd have to pull the data off it, create an encrypted container and thus store the encrypted data again -- which requires a computer. It would be possible to construct such a camera, though (actually, probably only requires a slightly faster processor and some software).