Radio waves are electromagnetic while sound waves are a physical wave. I assume that having to actually move the air molecules would require a lot more power and time than electrons in an antenna as well as having to deal with air density and environmental sound interference. I would be interested in knowing the limit of bandwidth here though.

It also brings up an interesting thought I never had before. With early home computers, and I assume before that as well, you would place a phone handset onto a coupler to receive data. It is odd to think now that there is a little air in there that is transferring sound between the handset speaker and the coupler microphone. I assume that without that little bit of air it wouldn't function.