You're not alone, I'm the same way. If I try to write a whole freaking new world my writing has a tendency to be very choppy and the dialogue, normally the easiest part for me, sounds forced. It's like you said, it takes more brain power, more forethought and planning, and I'm just at the stage in my writing I don't want to have to plan the ancestry of this character, where they live, where they're from, what their social status is, before I get to what the character IS and what the story is going to do because of them. I just want to sit down, snap into that state of mind, and write until I'm done.
However, that said, it's not exactly easy as pie to write urban fantasy either, even though it's probably just more general writing stuff that is hard instead of genre specific stuff. For example, I don't have to really set up a whole different place for my character Jake to live, but because he is my main character and I'm telling the story through his eyes, I still have to sit back and try to get into a whole different headspace than what I'm normally in. And it's not just that he's in a different stage of his life than I am (he's in his mid twenties or so, I'm a bit younger, still in the student stage of my life, while he's transitioning to the teaching portion of his life) but men just talk differently than women do. They use different adjectives, different nouns, they use shorter sentences with fewer add ons. In my experience, they say what they mean, then shut up. I'm a girl, a tomboy, but still a girl, and I have to literally read back through my writing and go, "Arrggg, that sentence has two X chromosomes!!! *Growls at the second X* Y, Damn you, turn into a Y! *Shuffles some nouns and verbs around*"
So yeah, writing close to home is easier in some ways, but you have to focus much more on detail and I think that because the world is more familiar, readers are going to be less forgiving of inconsistancies and mistakes. Without a whole new world to be awed by, it's easier to pick up characters acting weird and the sentences just aren't flowing and meshing the way they should.