TL;DR
The reason is due to the big block size by default in exFAT. Just reformat it with a smaller block size and it'll work
However also note that macOS will create a lot of hidden ._ files when copying using Finder to store the file metadata, which consumes even more space compared to HFS+. You should copy using command line to avoid creating those files
Actually exFAT so simple that it's much more efficient in disk usage than other more advanced file systems like NTFS, ext4, APFS, HFS+... providing block size is the same, because the more complex a file system is, the more metadata it requires. Just format a new partition in any of those file systems and you'll see that the used space in the blank drive is much larger than exFAT:
However the thing is that exFAT has much bigger block size by default. A 3 TB drive will have 1 MiB block size compared to 4 KiB on other file systems. See 1-byte file takes up 2 MB (yes, megabytes) on 6 TB exFAT Veracrypt volume. Why? for the default cluster sizes on exFAT:
Volume size Cluster size
500 GiB 128 KiB
1000 GiB 256 KiB
1500 GiB 512 KiB
2000 GiB 512 KiB
3000 GiB 1 MiB
4000 GiB 1 MiB
5000 GiB 2 MiB
8000 GiB 2 MiB
10000 GiB 4 MiB
20000 GiB 8 MiB
That means if you have a 640 KiB file, you waste nothing in HFS+ but 384 KiB when storing it in exFAT. As a result an exFAT disk will fill up much faster by default. You must reformat the exFAT partition and choose a smaller block size to waste less space
See also