They’re standardies sizes, especially for hard drives and SSDs, so even if you could fit the same amiunt of storage in less space, manufacturers choose to use standardised 2.5″ or 3.5″ inch form factors to ensure they fit in every case.
Same thing for SD cards, they need to be able to actually fit in the card reader so manufacturers can’t just go making their own sizes.
The drive itself is a standard size, because having standards is useful when you need to mount things onto motherboards or inside a PC case. Those standard are 3.5 inch drive, 2.5 inch drive, and m.2 form factor, for some common examples.
But the drive is just a container for the components inside of it. The components inside may very well occupy more physical space. Not always, because sometimes improvements are made to the technology that allows us to make smaller components (and hence fit more of them in the same physical space). But a larger capacity hard drive might have more physical platters in the same standard chassis, a 2TB SSD might have twice as many storage chips as a 1TB drive within the same product line. So yes they might be physically bigger, it’s just not visible unless you open up the drive.
Especially with 2.5″ SSDs, a significant portion of the drive is just [empty space](https://pbs.twimg.com/media/CFXoSyrUEAAVvTs.jpg). And of the internal components actually present, only a portion of that is made up of [components that actually physically store the data](https://pbblogassets.s3.amazonaws.com/uploads/2020/01/21141308/ssd-breakdown.jpg).
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