Interestingly enough, if you really wanted to find out, you'll see that the Oblivion map is actually larger than the Morrowind map in square miles or something. The point is that even though Cyrodiil is actually bigger than Morrowind, me and everyone else who played the game would say that Morrowind's world was a much bigger and more fantastical world than Oblivion.
Why? Immersion. Despite all the stiff, never-moving stick people that Morrowind was populated by, all the cities actually felt like huge active cities with hundreds of NPCs all with their own backstory or relating quest, which would give them more than two lines of dialogue. Sure, there wasn't any voice acting, but at least all the character felt like they had more to say than just repeating what rumor they heard over and over and over again. Oblivion's Imperial City didn't hold a candle in my heart compared to the juggernaut that was Vivec, especially not he 50-something characters that lived there. There were tons of other villages that were actually worth visiting, instead of nine-or-so towns. There were even more factions in Morrowind.
Even the fast travel system gave you the feeling of a huge epic world. In Morrowind, you had to be in a town to find transport to somewhere. That may sound like crap, but starting out with a map that magically transports you to every town, which were the only places to find shit to do, completely decimates the huge epic world feel.
Don't get me wrong, I love Oblivion like my unborn child, but there are a few things that I found more appealing in Morrowind. They're both really good games.