Basic thermodynamics: converting heat into work is inefficient. A photovoltaic can go straight from the energy of the photons (admittedly restricted to a particular band that they were designed for) with less loss.
That's a slightly glossed over interpretation of thermodynamics. Perhaps photovoltaics have a higher theoretical efficiency than a thermal cycle plant, but in practice they don't. Thermal cycle power plants are the mainstay of our power generation - nuclear, coal, gas, geothermal - all those power sources make use of a steam based heat to work cycle. We've got 100 years of experience in developing thermal cycle power. Peak photovoltaic efficiency is currently ~20%, while most affordable cells are closer to 10-15%. A simple cycle thermal plant might have an efficiency of 30-40%. It'll be some time before photovoltaics are more efficient for a given area of collecting space.
Cost is a different question. Photovoltaics have fallen dramatically in cost recently. As the space taken up by a solar plant isn't really an issue (the collecting area could take up 10 times more space without really impacting anything), the winner in solar energy will be the cheapest option per kWh.
