Copper has a much higher thermal conductivity than stainless steel - about 400 W/(mK) versus 15 or 20.
I'd assume that means that a copper chiller will cool the wort more quickly than a stainless steel one, all other factors being equal. But I haven't done any calculations, so I'm not sure how great the difference would actually be. Probably fairly small, since your average immersion chiller as a wall thickness of much less than a meter. That and copper and stainless steel pipes probably don't need the same wall thickness, perhaps steel pipe ends up being enough thinner to mitigate a lot of what difference there is. So maybe it's not really an issue in practice.