Because what is in a 9 volt is 6 AAAA batteries. They are smaller than even an AAA battery. Only thing I know that uses them is some of the surface drawing pens and the like.
That said if you need 9 volts ask a church. I know we would gladly hand you a box of half full ones as you have to pull them out of the wireless mics before they die. And older Shure mics are 9 volt.
But then the question would shift to: Why wouldn’t a AAAA cell have the same energy density of a AA cell? Remember that the argument is about energy density, not total energy.
By the way, I think that fsh’s reply is a convincing answer: it’s the extra packaging that kills the density.
The current collector also takes up relatively more volume, on top of the packaging (the wall thickness would be the same, and it's not a trivial part of the volume of small cell batteries).
Perhaps interestingly, some 9V batteries (Varta comes to mind) have a stack of cells with rectangular cross section instead that of a cylinder (like AAAA), which suggests an improvement in energy density.
That said if you need 9 volts ask a church. I know we would gladly hand you a box of half full ones as you have to pull them out of the wireless mics before they die. And older Shure mics are 9 volt.