If you look at the documentation for pd.DataFrame.append
Append rows of other to the end of this frame, returning a new object. Columns not in this frame are added as new columns.
(emphasis mine).
Try
df_res = df_res.append(res)
Incidentally, note that pandas isn’t that efficient for creating a DataFrame by successive concatenations. You might try this, instead:
all_res = []
for df in df_all:
for i in substr:
res = df[df['url'].str.contains(i)]
all_res.append(res)
df_res = pd.concat(all_res)
This first creates a list of all the parts, then creates a DataFrame from all of them once at the end.