I've tried reading PDFs but like you say my retention is so much worse it's a waste of time. It's also a real struggle to even gather enough attention span to read more than a few pages.
With a physical book I can just isolate myself from the rest of the world and give all my attention to the book. It helps that the pages are physical, you gain a physical intimacy and familiarity with each page as you spend some time with them, and as you return back to the pages you've already read, each one being like a separate physical object. You also get a much better sense of the whole book, of where every page fits and of how distant they are from each other. Whereas on a screen you only get to see one page at the time in a sort of tunnel vision.
So I prefer to buy cheap second-hand books, it also makes me think twice what is worth reading, so I read mostly primary sources. I'll still read chunks of secondary sources on my computer if I'm having hard time understanding something, so PDFs are still immensely useful. It's also nice to check if the book is enjoyable to read before buying a physical copy.