Great question.
Think about where the energy from cellular metabolism is originally derived from.
We oxidize these metabolic substrates and take away their high energy electrons to utilize their potential energy toward ATP synthesis (oxidative phosphorylation via ATP synthase).
Thus, any compound containing a larger number of high energy electrons will possess a greater potential to produce energy than a compound containing fewer available electrons. Now compare this notion to the question you have posed.
Unsaturated fatty acids possess degrees of unsaturation and therefore fewer high energy electrons to donate relative to the saturated variant (review how electrons can be transferred in biochemical redox reactions if this explanation seems lacking).
Hope this helps
