It's because when you apply an AC voltage to a capacitor (an ideal one), it absorbs no power. No net power is delivered to a capacitor.
A real capacitor, with a finite ESR, will absorb a tiny bit of power, but that doesn't change the big picture.
Efficiency of a device is defined as the ratio of useful power out/power in. Since no power is delivered to a capacitor on the output of a transformer, the power out is zero, and the ratio (power out)/(power in) is zero.