We can only guess based on what we hear. Cell phone manufacturers have a lot more data than we do and they keep going for thinness, so I have to imagine there's a demand for it.
I wouldn't be surprised to learn that most consumers prefer battery life to thinness in surveys and polls but actually wind up buying the thinner phone when presented with actual hardware. Thinness is easy to see. If you're comparing phones in a Best Buy, the thinner one might feel more modern and impressive. Battery life is a hard feature to demo in that environment.
In other words, maybe the average person only wants battery life in the abstract, but opts for thinness when making a purchase.