Same!!
My theory is that is has to do with the pace.
With a movie, it's a slow burn. There's usually some plot establishment in the beginning that goes slow, then a bunch of filler in between moments that actually further the plot.
With a show, your runtime is maybe an hour, but generally 30-45 minutes. Most shows each episode has sort of a main story and a B-storyline, and both wrap up nicely at the end of the episode. There's less filler because there's less time, so you feel like you've completed something without dragging it out for 2 hours.
And because you didn't have to spend 2 hours forcing your brain to pay attention and make all those connections, it's not burnt out, and it wants more instead.