Espresso does indeed extract more caffeine than other brewing methods except possibly Turkish (which I'm not familiar with). There are a few reasons why.
Grind size is one: espresso's very fine grind size results in greater surface area of the beans compared to the grind sizes used for most other brewing methods.
Two is pressure. The pressure with which water is pushed through the coffee grinds agitates the grinds. As you probably have seen from stirring sugar or other solutes into water, agitating the solvent and/or the solute allows exposure of lower parts of the solvent to higher concentrations of the solute, resulting in faster / more complete dissolving.
Third is that concentration, which is related to the other two factors. Espresso uses a small amount of water to brew compared to drip, pour over, or French press. A double shot uses between 2 and 3 ounces of water to brew (some gets left behind in the portafilter), and the drink volume produces by this brew method (in the US) is only ~2 ounces. Caffeine per milliliter of espresso is nearly double that of the next highest contender (which is cold brew--which cold brew achieves by using a very long brew time).
That said, many coffee drinkers dilute their coffee with various additives. Diluting of course will change the consideration of caffeine concentration (but not caffeine content).