I think it would be more wasteful. For every connected client you need some sort of object/function/code/whatever on the server paired up with that one client. A socket handler, or a file descriptor, or however your server is setup to handle the connections.
With AJAX you don’t need a 1:1 mapping of server side resource to client. Your # of clients can scale less dependently than your server-side resources. Even node.js has its limitations to how many connections it can handle and keep open.
The other thing to consider is that certain AJAX responses can be cached too. As you scale up you can add an HTTP cache to help reduce the load from frequent AJAX requests.