Concatenate_datasets loads everything into RAM
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## Describe the bug
When loading the datasets seperately and saving them on disk, I want to concatenate them. But `concatenate_datasets` is filling up my RAM and the process gets killed. Is there a way to prevent this from happening or is this intended behaviour? Thanks in advance

## Steps to reproduce the bug
```python
gcs = gcsfs.GCSFileSystem(project='project')
datasets = [load_from_disk(f'path/to/slice/of/data/{i}', fs=gcs, keep_in_memory=False) for i in range(10)]

dataset = concatenate_datasets(datasets)
```

## Expected results
A concatenated dataset which is stored on my disk.

## Actual results
Concatenated dataset gets loaded into RAM and overflows it which gets the process killed.

## Environment info
<!-- You can run the command `datasets-cli env` and copy-and-paste its output below. -->
- `datasets` version: 2.4.0
- Platform: Linux-4.19.0-21-cloud-amd64-x86_64-with-glibc2.10
- Python version: 3.8.13
- PyArrow version: 8.0.1
- Pandas version: 1.4.3
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