The main thing is that handheld game consoles tend to intentionally use hardware that is modern but equivalent in power to something two or three generations back. Basically, handheld game system processors use the improvements in microchip design to make them more efficient at power usage instead of faster. Smart phones, on the other hand, are currently locked in the same sort of processor speed battle that home computers were until sometime in the last decade, where we started having to slap more cores on because we were hitting hard limits on how fast you can make an individual core. Battery life is still a concern, but processor speed is at least as big, especially for the flagship models.
Also, handhelds do generate some heat. I've had my DS warm up, for example, although that happens more when it's charging than when I'm playing, which means it's the battery producing most of the heat.