Novels pay better than short stories. Period.
I know many people who make money writing short stories. I was one of them for many years. But I only know one person who made his entire living from them.
On the other hand, there are many, many writers who make a decent living writing novels.
However, there is a caveat and it’s a big one.
Short stories are usually published by magazines and the magazines do the marketing. All the writer does is write the story, submit it, and (if it sells) collect a check.
Novelists must market and market hard because the business end of selling books includes the writer marketing their own books. This is so common that some publishers will ask for information on how you intend to promote your book even before looking at the manuscript.
The publisher will help with information as to how to market and, possibly, leads on the best places, etc. But the writer must do the bulk of the work.
The good news is, you don’t have to choose one or the other. Many novelists write short stories in between books. And many short story writers pen a novel now and then.