One of the most frustrating parts about teaching physics is that it's so hard to make examples involving the human body. The human body so chock full of complex higher order effects that often our intuition about the human body leads us astray from the physics principles.
From a pure physics perspective, you need to put the same energy into lifting an object as you do into arresting its motion, and holding it in place transfers no energy at all. We can write the simple physics equation $W=fd$, work is physics times distance, smile, and say we're done.
But with the human body, "effort" is not always a good metric for "energy." It turns out that our muscles are far more complicated than that. Our muscles operate on fascinating chemical reactions. These chemical reactions do not work the same for "concentric" motion, where the force is in the direction of motion, as they do for "eccentric" motion, where the force is in the opposite direction. So while catching a falling object and lifting an object require the same energy in the nice easy physics world, in the real world with real muscles, the story can be more complicated.
Even more complex, it turns out that "isotonic" force, where one applies force with no motion, is something that our muscles do even better than either eccentric or concentric motion (in fact, it's on the order of 3x stronger than concentric contractions). In many cases, our brains are astonishingly good at this, and will naturally lead us to use the weak arm muscles isotonically, and instead manage motion using concentric/eccentric motion of the abdominal muscles, which are far stronger. As a result, your instinct about what is "easier" turns out to be frustratingly far from the "energy" we teach in physics.
If you want a better intuitive connection to "energy," consider simple machines rather than the complex human body. If you consider a play-ground see-saw catching an object versus lifting it, it's easier to see that it involves the same energy transfer. The human body is just... complicated.