Thermocouples are usually used where quick response is required. The operative temperature sensing element is the welded joint between two dissimilar wires. It can be very small, so has very little heat capacity. (The wires themselves can contribute to the error, however, by conducting heat to or from the junction.)
The other devices listed are generally mounted on or contained by something with additional heat capacity. Thus, their response rate can be more limited.
The other devices listed are generally mounted on or contained by something with additional heat capacity. Thus, their response rate can be more limited.