More stuff in the way of the flow causes more back-pressure.
Think of a thicker filter as being two filters in series. For example, if a filter develops 0.1 PSI across it when 100 CFM air flow is going thru it, then two filters in the same 100 CFM air flow must together drop 0.2 PSI across them.
Depending on what exactly your criteria for efficiency are, more filters in series may decrease efficiency. If the first filter blocks all the particles you care about, then extra filters only cause more back pressure without any better filtering. For example, consider two window screens on the same window. The outer one already blocks all mosquitos, so the inner one doesn't make the overall screen perform better. It does however make it more difficult to see thru the overall screen. If you consider efficiency as mosquitos blocked per light blocked, then two screens is clearly less efficient than one screen.