Large particles are usually heavier than small ones, and take more energy to move around.
A very strong wind is needed to move sand-sized grains while a trickle of water moves them easily. Since it takes more energy to move water than air, the moving water already contained more energy than the wind. The energy added to the water to put it in motion is transferred to the sand, to put the sand in motion. As soon as the water stops moving, it loses the energy needed to keep the sand in suspension. At the mouth of rivers, where they enter lakes and oceans, deltas form from sediment the water no longer had energy to carry.