As Thrythlind mentioned, Rogues receive a lot of their savoury at later levels, something that we are denied as of now. That alone can create a pretty lopsided impression.
Another thing that has been mentioned, but not detailed, and the one you can see thanks to EA being hobbled by level 4 cap. Rogue's Sneak Attack receives an additional 1d6 at every odd level, while Warlock's Eldritch Blast receives an extra 1d10 every 4th level after first. As such, level 3 Rogues will have their SA at 2d6 (+ whatever damage their weapon + DEX does), while Warlocks currently don't improve their EB at all, save for Agonising Blast, which of course is a blast because it's a guaranteed +damage on hit, but still not quite the same as an extra die.
Personally I love Rogues, but they require careful positioning and overall tactical orchestration to really shine. I remember, when I played NWN2, what kind of a hassle it was to move Neeshka behind the enemies to trigger her Sneak Attack, constantly minding AoOs from other foes in the vicinity. In 5e, this is no longer necessary, thankfully.
Maybe you are just not using Sneak Attack? Larian's controls for it are quite unorthodox: you can't just click an enemy, you need to use separate melee / ranged SA buttons on the hotbar. Weird and counterintuitive if you ask me, but that's all we have for now.
