The conventional reason I see for this everywhere is that "investors take on larger risk locking up their money for longer."
This is unsatisfactory for me because of the secondary market. The price of a 30-year bond, for example, should be increasing by YTM% (yield-to-maturity) since the NPV of all future outflows increases (less time till the outflows).
So comparing a 30-year bond and a 1 month bill, why can't an investor buy the 30-year bond, hold it for a month, then sell it?
Both bond and bill are exposed to interest rate risk the same time. Furthermore, the sum of the bond's outflows + higher price, as mentioned above, should produce YTM% of value. So now since the 30-year bond's yield is higher than the 1 month bill, the investor should make more with the 30-year bond.