DACs are usually twin-ax, which is just 2 coax cables bundled. The shielding matters a lot, compared to unshielded twisted pairs.

Faster parallel DACs require more pairs of coax, and thus are thicker and more expensive.

Another reason is that they are shorter range, and the better shielding also means that interference effects are smaller.

In comparison, twisted pair sending 10Gbit over 8P8C cable (popular "RJ-45") requires complex modulation schemes to provide solid signal over any meaningful distance, in a much less shielded cable, and with need to support longer distances.