I believe it is because propellers get lift from air pressure, which is more efficient than just pushing air for thrust. If you are sucking air through an engine you don't get that bernoulli effect.
I could be wrong. I am not an aerospace engineer
The efficiency of a propeller depends on the ratio thrust/area, the smaller this ratio the higher the efficiency. (See 11.7.3 at https://web.mit.edu/16.unified/www/FALL/thermodynamics/notes...) The issue with the ducted fan is that the propeller size is constrained and the weight is higher due to the mechanical structure. A small quadcopter has twice or more propeller area for a portion of the weight.