Why can the complex sugar cellulose store more energy that the sugar glucose

Because they contain less "built-in" water.

Explanation:

When two glucose molecules 'decide' to bond, they lose a molecule of water:

2 C6 H12 O6 → C12 H22 O11 + H2 O

And this happens at every connection between glucose molecules, so in a long chain a lot of water is lost. The water does not contribute anything to the energy content of the compound.