Hi Mustauim,
If you connect a capacitor across the DC supply and turn it ON, there will be a current flow until the capacitor gets fully charged. For a 5V supply if you directly connect a capacitor it will take only fraction of seconds to get fully charged and stop the current flowing through it.
However if you connect an inductor exactly opposite thing will happen. For a fraction of second it won’t allow the current to flow through it and after that the inductor will act as a normal conductor which allow all the current to pass through it. If you directly connect an inductor it will short circuit and cause damage to your costly power supply.