I think why it is so is because of less wave length for high frequency.So its beam can be travel long without diffuse by something in its travel track.
It all depends on where it is heading. In outer space there is no material to reflect, refract, or attenuate radio waves and they all spread out with the inverse square law.
On the earth things are very different. The gasses in the atmosphere have attenuation that varies drastically with frequency.
The ionosphere reflects lower frequencies which makes them travel to more distant points on the earth compared to the higher frequency ones that pass through and go into outer space.
If frequency is higher wavelength is lower, so is the skin depth. But more important this has an impact on group velocity. The wave traving eg. a pulse have a high frequency or more higher the leading edge has tendency to travel faster than back-edge. Pulse this way shall spread although is it complicated to argue it.
In higher frequency as I did mention the pulse of the wave this way shall try then to travel faster, and the only reason (at least in deep-space) is the frequency was higher. Soliton Communications studies these. In Real world sunami is a natural phenomena exibiting this pulse leading-edge/back-edge.
the rf propagation distance is decided the following factor:
the transmit antenna,receiver antenna,and the transmitter power, the receiver sensistivity,so if you want to compare the distance,you should decide in which situration to compare