More likely that a bale of hay was simply a conspicuous but lightweight thing that was easy to get your hands on back in the day.

Also if it comes undone and falls in the river, it's not likely to do any harm.

Aside: Although the article makes the same mistake, hay and straw are not the same thing. Hay is dead green grass-like plants. Straw is dead brown grass-like plant matter that has finished it's lifecycle and used up all the sugars and things in it. Hay gets moldy more easily but has nutrients for animals while straw does not decompose as quickly.

Indeed. Cheap, readily available, heavy enough to hang, soft enough to bump out of the way. Honestly, it's a mystery to me why it's a mystery. What else would they use, a dead sheep?