Question

why do we need to decrease the size of a device while increasing the frequency or for devices conducting frequency higher than 20 KHz?

Answer 1

At high frequency, there are proximity problems (like electromagnetic interference/ induction). There are also higher (switching) losses in the conductors. Losses are proportional to frequency.

Higher efficiency can be obtained and lower power dissipation can be achieved with smaller size devices. Also higher power density can be obtained on the surface. This enables a higher electromagnetic field in the space. So more effective transmission is possible. 

Also directivity is more accurate. The battery life increases.