It’s complicated. Cellular data uses much more energy than Wi-Fi, and the energy consumption varies with signal strength - a weak cellular signal uses 10 times as much energy as a strong cellular signal, and the range is about 50 mw for a strong signal to 600 mw for the weakest signal. Also, 5G cellular connections uses much more energy than 4G/LTE connections, because the connection speed is much faster, and TANSTAAFL.
However, cellular connections only use energy when transferring data, not when the connection is idle. The exception is when you have NO cellular connection, but cellular data is turned on. Your phone will keep trying to find a cellular connection, by blasting out at the maximum power of 600 mw. So if you know you won’t have a connection for an extended period consider turning off cellular data (the green button in the Control Center will turn cellular data on or off).
Wi-Fi uses much less energy; typically 30mw. However, Wi-Fi uses data continuously as long as it is connected, whether data are being transferred or not. Because of this when your phone goes to sleep Wi-Fi is automatically turned off.
Thus, your observation is correct; cellular data will drain the battery faster than Wi-Fi.