It's really only a heat thing indirectly.  It's more a cost thing, and a size thing, and a weight thing.

ESCs get more expensive fairly slowly as the voltage goes up.  The first break is at about 5V (that's where you stop being able to drive the transistor gates straight from the processor, and have to use drivers).  The second break is at about 15-20V (that's where you stop being able to drive the transistor gates with inexpensive drivers, and have to use ones with bootstrap circuits).  I'm not exactly sure where the third break is, but there's a transistor-market one at 40V and there's certainly a regulatory one at 60V (that's where your system stops being a "low voltage" system).  I'm not sure how that regulatory break plays out with our systems since we buy components and put the systems together ourselves, but it's gotta mean something in terms of product liability.

ESCs get more expensive pretty directly as the current goes up: you want more current, you gotta pay for mo-better transistors to handle it.  Moreover, if the ESC has multiple transistors per leg, the circuit complexity goes up and so do production and design costs.

Wires need to be sized to match current more than voltage.  Look at your motor wires: the amount of copper is there to carry the current, the thickness of the insulation is there to keep the voltage inside.  That insulation is probably rated for more than 100V, so it isn't going to get thicker until you're pushing 30 cells.  OTOH, motor wires sized for 45A need to be 25% bigger than motor wires sized for 34A.  Ditto battery wires, connectors, any arming switches, etc.

In the extreme, consider what you'd have if you found a 135A ESC that worked at 3.5V, a 3600kV motor, and one honkin' big cell.  All your wires would have to be twice the diameter and four times the weight of your 4S setup.  The circuit traces on the ESC would have to have four times the area, too, and the transistors would have to be rated for 135A each, or they'd have to be paralleled up.  That means that the ESC would be approximately the same size, weight, and cost of a 135A-capable 4S ESC.  All your connectors would have to be capable of 135A.  And, when you went to install it, your wires would be something like eight times stiffer as you go to bend them around corners (if I'm remembering my mechanical engineering stuff right), not to mention bigger (remember bigger?).

So I guess the real bottom line is that the difference between 3S and 4S isn't big, unless you've hit the threshold of your favorite connector's current ratings, or you need a bigger ESC.  But, in general, as the power level goes up it is convenient for both the current and voltage to go up, too -- too much of either one or the other is going to get you out of the sweet spot, and leave you with a system that's heavy, inconvenient, expensive, or some combination thereof.

I'm not sure if I'm explaining this well, but I hope my absurd example of a 1S setup makes it clear...