differences between different footprint surface mount RLC components
Power rating on resistors is the primary difference but also maximum voltage rating can be lower on smaller packages. For capacitors, the maximum voltage rating will be lower on smaller packages and it is likely that the dielectric type will be "worse" for the same value in smaller packages. A "worse" dielectric means higher losses and/or capacitance drift with temperature.

For inductors, the effective series resistance will likely be higher on smaller packages but this can be traded-off by the inductor supplier using a higher permeability magnetic material - the downside being that it won't be very good in higher frequency applications. Also, smaller package inductors will, for the same inductance value as a bigger package, use thinner wires and thinner insulation on the wires and this can lead to lower voltage capability and lower self-resonant frequency due to the winding capacitance being higher.