It has to do with momentum. a 230 gr 45 at 850 fps will penetrate so far, and a 44 mag 245 gr at 1250 fps will penetrate farther. Or if you want to compare apples and apples look at a 230 gr 45 WinMag doing 1200 fps.
You just need to shoot more with the respective calibers to learn the limitations of them. I stuck a lot of 45's in the front part of bowling pins. That really brought me back to earth about the 45acp.