Apple Watches are among the thinnest smart watches available. Series 0 and 1 were 10.5mm, while 2 and 3 are 11.4mm. Excepting those, the thinnest smart watch from a major manufacturer is LG Watch Style at 10.8mm. Thickness of 12 to 14mm are the norm in this industry. Therefore, by smart watch standards Apple Watches are anything but bulky. However, regular watches at a similar size seem to be at around 8mm thickness, so I can see where you're coming from.
Meanwhile, Apple is currently at a point where it's trying to cram in more and more functions into the watch. We got better water resistance, GPS, and now LTE and barometer. We might even get some new sensors in future models. While this is happening it would be hard to even just keeping the same thickness while maintaining the battery life. So I don't foresee slimming down any time soon.
Me, I thought it was kind of thick, too, but then I've been wearing Apple Watches almost all the time for the past 3 years and I simply got used to it.