They have different extraction (brewing) mechanisms.
A double shot of espresso is extracted over a period of about 20 seconds, whereas a single serving of drip coffee would take 10x as long to produce. A smaller granule of coffee has more surface area to volume, and as such a fine grind of coffee will release it's goodness much more quickly than a course grind. Thus, an espresso grind is much more fine than that of drip coffee.