Because whey proteins have a higher number of disulphide bonds than caseins. The disulphide bond is the protein site affected by the thermal treatment.

Hello Peter

Whey protein is also known as fast protein due to branch chain amino acids (such as leucine) and are more rapidly digested and absorbed while, casein is comparatively a slow protein (slower release of amino acids). It means upon ingestion of these proteins, whey protein undergo fast oxidation and increased blood amino acids level then casein. This increased level of amino acid results in faster protein synthesis and also required higher energy, which results in increased thermogenesis. This protein synthesis after consumption of whey protein is found to be almost double as compared to casein. Which is one of the possible mechanism for higher thermic effect of whey protein then casein.

I hope it will help you.

Best wishes

Whey proteins are denatured under the effects of milk or whey heating, but several parameters, such as heating temperature, protein concentration, pH, and the type and concentration of salts, represent important factors affecting the heat-induced denaturation and the aggregation of whey proteins.

Among whey proteins, α-LA has a greater resistance to thermal denaturation compared with the other whey protein fractions; the resistance to denaturation decreases from α-LA to β-LG to BSA to Ig.

This features of the whey proteins are exploited in Ricotta cheese production which is obtained from whey heated to up 80°C determining the protein aggregation and consequently the gel-structuring process.

If you are interested in this subject, please have a look to our paper

https://www.researchgate.net/publication/262584493_Effect_of_whey_concentration_on_protein_recovery_in_fresh_ovine_ricotta_cheese

or to this interesting review

https://onlinelibrary.wiley.com/doi/full/10.1111/1541-4337.12105

Whey proteins are high in nutritional value then casein. Their amino acid composition is regarded as biological optimum, rapidly digested and absorbed than casein. This means the higher the protein synthesis, the higher the energy cost that will increase thermogenesis.

https://academic.oup.com/ajcn/article/93/3/525/4597649

this link may help