You are both right and wrong, because you (and I) are not clearly distinguishing between different kinds of efficiency and effectiveness.
Liquid cooling is, without question, more /effective/. It makes things cooler, it has a far higher capacity for heat transport.
However, with /efficiency/, you do weigh the results against the effort put in: A solution is more efficient if the quotient result/effort is higher. However, in case of cooling, there are two ways to measure effort: energy expended or money expended. In the case of energy efficiency, yes, liquid cooling is better, because of the aforementioned higher effectiveness of heat transport, lesser energy expenses for pumps/fans and easier energy reuse. However, financially, all that liquid handling, custom piping, pumping, coolant, etc. is by far more expensive than a few air ducts and fans. Even with air-air heat pumps, air cooling is still less expensive, so better financial efficiency. That's why everybody is doing it as a default atm.
Liquid cooling is, without question, more /effective/. It makes things cooler, it has a far higher capacity for heat transport.
However, with /efficiency/, you do weigh the results against the effort put in: A solution is more efficient if the quotient result/effort is higher. However, in case of cooling, there are two ways to measure effort: energy expended or money expended. In the case of energy efficiency, yes, liquid cooling is better, because of the aforementioned higher effectiveness of heat transport, lesser energy expenses for pumps/fans and easier energy reuse. However, financially, all that liquid handling, custom piping, pumping, coolant, etc. is by far more expensive than a few air ducts and fans. Even with air-air heat pumps, air cooling is still less expensive, so better financial efficiency. That's why everybody is doing it as a default atm.