The reason it is thick is because it supports 65W charging. Apple did the same with the USB-C cables that shipped with the pre-MagSafe MacBooks. It was a thicker cable that supported 100w charging but was only USB 2.0.
I think that's being a bit uncharitable to B&W specifically; they're one of the few headphone companies where the engineering does back up the price. The cable is the odd one out.
Or, why Apple manages the same in half the footprint?
Or, why someone would expect that a cable that came with a pair of headphones actually charges things at over 65w?