Alpha particles consist of 2 neutrons and 2 protons. Beta particles on the other hand are electrons. The mass of an alpha particle is approximately 8000 times that of a beta particle. An alpha particle with an energy equal to a beta particle will have a velocity which is approximately 1/100 that of the beta particle.
The slower velocity of alpha particles and their extremely large size as compared to beta particles makes it very difficult for them to penetrate through matter. Alpha particles are absorbed by a few meters of air or a sheet of paper while beta particles can easily pass through that and require a sheet of metal to stop them.