Do they?
The first two results on Google for "government vs private efficiency" are https://www.undp.org/sites/g/files/zskgke326/files/publicati... and https://www.epsu.org/article/public-and-private-sector-effic..., which both suggest that it is a myth that companies are inherently more efficient than government.
It's also worth mentioning that governments and companies inherently must operate differently. Governments are not set up to recoup investment; in fact, proponents of small government (as opposed to no government) generally recognize that the role of government is to assist in preventing "tragedy of the commons" by funding initiatives and programs that fundamentally do not make sense for a single market player to address. I.e. government helps when there isn't a good path for a single market player to see a good/reliable economic and market-competitive return from their investment.