2.5" drives are indeed smaller, lighter, and consume less power. But these things do not come without a price. 3.5" drives tend to be faster, have higher capacity, and are likely more reliable. Smaller drives are more complex to design and build and that means more compromises. A 2.5" drive platter has roughly half the surface area of a 3.5" drive so to achieve the same capacity you need to increase the recording density or have more platters. Neither of these is simple to achieve. The smaller power consumption of a 2.5" drive is largely a matter of necessity. These are designed largely for laptop use where power consumption is very important and the smaller size means heat is more difficult to dissipate. 2.5" drives usually run at 5400 RPM while 7200 RPM is typical of 3.5" drives. And there is more.

The situation with SSDs is quite different so most manufacturers produce only 2.5" drives which can be installed in a desktop with suitable mounting.