You could say the same about the difference between shopping malls and individual shop units. With housing, terraced homes are more energy efficient than detached homes since the common walls are usually at the same temperature compared to the outside.
Imagine you divided the space up into cubes, each the side of a shop. Each side of a cube can be outside air, insulated wall, uninsulated wall, open space. Suppose you have 1000 units. With individual stores, that's 5000 sides that need to be insulating. If you have one shopping mall, with shops side-by-side, there are only 500 sides that need insulating. Even with the extra floor space for plazas, staircases, that's still no more than a few hundred rooftops.
It's no different from an office block. Some modern designs actually have separate frameworks for the exterior walls and the floors, so you have a greenhouse architecture where each can be modified without affecting the other. It's just a dome but with flatter sides.