Actually, I would argue, that regular capacitors, like a film capacitor have energy storage properties much closer to an inductor.
The reason that electrolytic capacitors can store more energy, is because the dielectric layer is very thin, and the energy storage is inversely proportional. Chemistry turn is into nanotechnology. If we investigate inductors, for example a solenoid, L= turns^2 * area /length, we significantly increase the inductance, if we increase the turns, and reduce the length. For example flat wire inductors, or planar inductors. But that doesn't even get us into the ballpark or nanotechnology. So the real question is, how do we make micrometer thickness wires, so we can increase the inductance significantly. And then how do we deal with the fact that the resulting magnetic field would saturate the core.
Manufacturing of micrometer wire is not the problem. Core saturation is not the problem; if you can make a lot of turns, you can just use air core. (The only reason core is used today, is to reduce number of turns which need to be made of that crappy conductor called copper.)
The problem is the poor conductivity of the usual metals (like copper). We just don't have a simple, affordable material that enables storing energy in the form of sustained current ~ magnetic field, because the I²R losses are just huge. Compare this to capacitors which
can store energy in form of sustained voltage ~ E field, because it's been found that even those high surface area "nano" structures in electrolytic capacitor SEI interface can be made with very little leakage (very high resistance).
Once again, it's possible to make a capacitor with 1Mohm of parallel equivalent resistance and still have 1F of capacitance and 10V voltage rating, but it's impossible* to make an inductor with 1µohm of series equivalent resistance and still have 1H of inductance and 10A current rating. These examples would be equal in energy storage.
*) without very cold temperatures enabling superconductors
Once someone invents a room-temperature superconductor which is also cheap to manufacture, this whole game changes (and it will be a huge revolution in electronics and computing, too).
Imagine if every capacitor came with a 100 Ohm - 1kOhm parallel resistor. You could still use the capacitor for many purposes, but not for
longer term energy storage (microseconds OK - seconds not). This is the equivalent of the inductors of today, with many milliohms of series resistance because of copper.
It's just that we don't often even
think how you would use an inductor for longer term storage, so it's unintuitive. The answer to that is: keep the current flowing all the time. If you don't want to
use the energy right now but just keep it, you use a zero-resistance imaginary MOSFET (Magical Oxide Semiconductor Field Effect Transistor) to short-circuit the zero-ESR future inductor! We just intuitively think that "short circuit" means some uncontrolled, infinite current, but when you have inductance, that definitely is not the case: all current changes are controllable, if you can control the timing of what you do.