In case of inductor:
$\text{V}-\text{L}\frac{\text{dI}}{\text{dt}}=0$
$\text{V}=\text{L}\frac{\text{dI}}{\text{dt}}$
$\int\text{dI}=\frac{\text{V}}{\text{L}}\int\text{dt}$
$\text{I}=\frac{\text{Vt}}{\text{L}}$
If direct current is connected across inductor current increases with time and transformer is also inductor. So, current can increase to large value and transfer can burn.