The reason we shrink heating devices down but not cooling devices is a combined consequence of economics and the laws of thermodynamics.

First an analogy: Making a boat that moves downstream a river is easy. Take any buoyant material like a log or a branch and drop it in water. Presto, you've got a mode of transportation of any size. Want to go upstream? Now you need motors to fight the current. Putting a motor on a large piece of wood, (a boat) is economically viable. Putting one on thousands of sticks? Ain't nobody got time for that.

As a consequence of the laws of thermodynamics, the the universe naturally converts all potential energy (fuel, electricity) into heat. The universe will do this basically on its own, over time, constantly. This is called entropy.

Doing the reverse, taking heat and putting it back into potential energy, i.e. cooling, is difficult. You basically have to pay a price to the universe in some other way, kind of like how a motorboat has to push more water downstream than the current would have naturally moved on it's own. This is what heat pumps (AC, fridge) do. Heat pumps put some of that heat back into potential energy, in exchange for also releasing potential energy into heat... The trick here is to do these two things in different places. The fridge's motor converts some electrical energy into heat in exchange for being able to move some of the heat in the fridge outside of the fridge. The consequence of this is that the room the fridge is in is now hotter. Mostly because you took the heat in the fridge and moved it into the room, but also because the fridge's motor also added some MORE heat to the room in the process in order to fight entropy. So to actually make this useful, you need to insulate what you are cooling (or it will just get warm again, warmer than it was before, because you added heat to the room), and you also want to dispose of the heat in the room. So you pump that out into the atmosphere...

Anyway, long story short, you need insulation, refrigerant, motors, heat changers, lots of power to fight the universe's tendency to spread heat everywhere. Technically you could miniaturize these things, but they become less efficient as you shrink them down, to the point where things smaller than a fridge are just not practical to make compared to the benefit you get from having them.

Making small heating devices is easy. You don't need to fight the universe. You just need an apparatus that will "go with the flow".