I’m sure it depends on the model, but in my experience if you force a 10G copper transceiver to 2.5G the insane heat generation goes away. I don’t have any Thunderbolt 10G adapters, but I’m kind of surprised they’re much larger. A SFP+ transceiver is the same size as a SFP one.
I think a major reason for the size is for heat dissipation, because it has to be prepared to handle the heat of a full 10G copper connection. Mine runs hot.