In addition to the other comments (which are correct), I'll state this: Heating and cooling uses air as the convection medium, but the heating and cooling of everything else is the actual goal.
If you have ever lost your primary heat in the winter, you know how grueling it is to warm a house back up from, say ~45f to 70f versus how quickly you can change from 68f to 70f. You're not just heating the air, that thermal energy you put in the air is pulled away by the cold objects (walls, appliances, ceiling, floor, furniture, etc). The air coming from the registers is cold, too, because all of the ductwork is cold too. Everything along that air charge's path is fighting. Think of thermal mass as the size of the pool and the thermal energy as the water.
So, the more thermal mass in the room (or garage), the more the system has to work to heat or cool everything.
I live in SC now, so the garage doesn't really get too cold in the winter. Summers are brutal, even with a big dual inverter air conditioner in the garage. If I know I'm going to work in the garage, I start the AC at 5am where the delta is more favorable and cool it slower and maintain it rather than try to do it when the outdoor temp is 95+. When I lived in New England, there were a few winters where I had to do repairs in -15f weather. The concrete was so cold, my joints were aching even with thermals and a Mr Heater pointed at me as I was under my car. I took the car for a drive first, parked it, let it sit with the heater going, and it was far better for longer. The car was no longer sucking the heat away (the sheet metal was, but the warm engine, transmission, and cabin had a far greater thermal mass so it was a net gain)
