Both of these are infinite, but the set of numbers containing odd numbers is by definition smaller than the set of numbers containing all integers, because it doesn’t have the even numbers.
This is provably false - the two sets are the same size. If you take the set of all integers, and then double each number and subtract one, you get the set of odd numbers. Since you haven’t removed or added any elements to the initial set, the two sets have the same size.
The size of this set was named Aleph-zero by Cantor.