At 125kHz, the majority of energy transferred is in the H field i.e. the alternating magnetic field. If you look at two loosely coupled magnetic loop antennas, beyond a certain distance, the H field received reduces with distance cubed and this isn't related to wavelength.
At UHF, the energy transferred will be an electromagnetic wave and, in the far field, both H and E fields reduce proportional to distance (not squared or cubed). This is because the transmit antenna will be a dipole and it will produce a regular EM wave beyond the near field. A loop antenna at 125 kHz will not produce a significant EM field unless its dimensions are in the realm of half the wavelength of 125 kHz (1.2km)
Now, somewhere in between is RFID; it operates as a near-field device so it's not quite as clear cut as my previous statements.
As for proper far-field radio/EM wave communications, an EM transmission gets "thinned out" as distance squares. At a certain distance the power flowing thru each square metre is one-quarter the level it is at half the distance. I'm trying to hint that a receiving antenna is like a net that captures power from the air - the bigger the net the more power it captures. It's called the "effective aperture" of the antenna.
It's not a giant leap to conclude that for a longer wavelength a dipole antenna is going to be longer and therefore it's effective aperture is larger therefore it captures more power because it inevitably has to be bigger to suit the lower frequencies.