KE is the mass of the arrow times the velocity squared, this causes kinetic energy to depend more on the speed for a higher value.
Momentum, on the other hand is the mass times the velocity. Momentum is how difficult it is to stop the arrow, the higher the momentum, the better penetration.
Inertia is what makes an object difficult to stop. Inertia is how much an objects resists acceleration in either the positive or negative direction by an outside force, such as the friction of piercing an animal. Momentum is derived from this. It is proportional to both mass and velocity. Kinetic energy is not directed in any way, it is just a number, while momentum is a vector, meaning it has both magnitude and direction. I hope this helps.