Why are helicopters less efficient than planes?
The answer lies in the difference between energy and momentum. Both have to be maintained, but energy goes up as the square of velocity, while momentum goes up linearly. To impart a given momentum, you can either move a lot of air slowly, or a little air quickly -- but as you move the air more quickly, it requires disproportionately more energy.

In other words, the bigger the wing, the more efficient (from an energy/momentum perspective, anyway).

A rotor's size is limited, both because its fast rotation means it needs to be light (and thus can't be very reinforced, etc) and because the larger its radius, the faster the end spins. That means it has to touch less air, but move it more -- which requires more energy.

There's more detail at this question on Physics StackExchange (disclaimer: I wrote that question).