It's perhaps more accurate to say sugars and simple carbs are easy to absorb whereas fats and complex carbs are harder to absorb. A single gram fat is the most calorie dense substance by weight that we can consume I think. It's just in practice it's hard to become fat by consuming only excess fat.

A carbohydrate and protein have the same calorie content, around 4kcal per gram. Fat is 9kcal per gram.