It's not necessarily inherently less secure, just often practically.
In the first place, adding more software adds more things you have to secure. Phpmyadmin has had its share of vulnerabilities, and now you have to worry about those in addition to the MySQL ones you had to worry about before.
One fairly standard thing to do with MySQL is to limit the privileges of accounts to only accept logins from a small whitelist of IPs (for a small app, that can be just localhost). But as soon as you install Phpmyadmin, you've provided a proxy of sorts for MySQL access from anywhere - unless you take extra steps to lock that down as wellyou take extra steps to lock that down as well.
Web interfaces like this can be set up securely, but they just add another administrative tool that you need to secure; if you learn how to use the commandline mysql
over ssh, then you can eliminate one entry point for an attacker.