Well, at the temperatures we're used to, it's mostly rotational-vibrational transitions in molecules, which means the kinetic motion of the nuclei of the atoms in the molecules, rather than the electrons. The nuclei are very heavy and move very slowly compared to the electrons, so these states have lower kinetic energy.
Higher wavelengths don't heat things because they're much higher in energy than equillibrium. An electron will get excited, and then return to its ground state giving off the same energy, or nearly the same energy. Only a small amount turns into rotational/vibrational energy and heats it up.
Let's consider a free electron in a metal, which is not bound to a specific atom and thus (i guess) doesn't have to stay at a fixed energy level. So, considerting that can a metal be heated by shining a high frequency wave under normal conditions as the electron doesn't have to fall to a fixed energy level and thus all the absorbed energy can be transferred into the vibrational and rotatory kinetic energy ( presuming there is no photoelectric emission)?