Sawtooth waves have both odd and even harmonics... Each harmonic is equal to the inverse of it harmonic number...so if you have a 100Hz sawtooth wave, it will have harmonics at 200, 300, 400 all the way up to infinity. The amplitude of the 200Hz wave will be half that of the 100Hz and the amplitude of the 300Hz will be 1/3, the 400Hz 1/4 etc.
Triangle waves only have odd harmonics so using the 100Hz example again it would have 300, 500, 700, 900 etc. The amplitude of a harmonic in a triangle wave is equal to the inverse square of its harmonic number, so if the fundamental 100Hz has an amplitude of say 1 the 300Hz will be 1/3 squared which is 0.111. As you can see the 500, 700 and 900Hz rates shrink in amplitude far quicker than the sawtooth wave.
So you've got 2 different wave forms
1. - Sawtooth - lots of harmonics (odd and even) which are relatively loud in relation to the fundamental
2. - Triangle - Fewer harmonics (only odd) which reduce in amplitude much more quickly as we climb through them, meaning that we hear far more of the fundamental anyway.
Hope I this helps