This is an excellent question and something we've been struggling to explain for decades. It is such an important and puzzling question that we've devoted pretty much an entire mission to investigate this - Parker Solar Probe (PSP).

There are theories as to why the corona is hotter and many of them are hard to test or verify because we can't see enough detail with satellites near Earth. So, we've sent PSP to get very close to the Sun to see if we can detect signatures that explain this behavior that we can't detect from Earth.

While PSP has already produced a lot of great data (including unexpected results such as folded magnetic field lines), we haven't yet answered this question. PSP will continue to get closer to the Sun over the next few years and hopefully the answers will come.