Less drag for the same blade velocity, but less lift in the same proportion, and what matters is lift to drag ratio, which isn't as good at high speeds (and a Martian helicopter would likely require a supersonic rotor).
And fundamentally, a hovering Mars drone is constantly accelerating by 3.7 m/s^2 by accelerating the nearby atmosphere downward. This is energy intensive, entirely apart from the drag losses. The thinner the surrounding atmosphere, the lower the mass flow rate and higher the velocity you have to accelerate it to, and higher the energy requirements...if a 1 kg drone accelerates 100 g of atmosphere (about 10 m^3) per second to 37 m/s to maintain a hover, it's doing about 70 watts of work, without even looking at losses. For reference, Curiosity gets about 125 W of continuous electrical power from its RTGs.