On a per-customer basis the cost of last-mile shipping is just the cost of the truck driving from the prior delivery to your house. That's probably less than the cost of you driving to a store and back.
Conveniently ignoring the cost from the distro warehouse to the neighborhood and the return leg back to the warehouse. sure, it can be split amongst deliveries on the route, but it is not free
Retail is just a warehouse you walk into: they pay the same costs
Retail does not need to employ the fleet of drivers going door to door with those packages. The drivers need paid, they need fuel, the trucks need maintenance. Those externalities are made way more clear when someone has to get themselves to a store to pick up the item instead.
But as already pointed out, one driver in a truck can cover multiple houses and so is a lot more efficient for the world than everybody driving their car to the store. (maybe, but you have not tried to counter this argument)