It depends on how long your Sprint is.
Consider that Sprint Review is timeboxed to 4 hours for 1 month / 4 week Sprints, Sprint Retrospective is 3 hours for a 1 month / 4 week Sprint, and Sprint Planning is 8 hours for a 1 month / 4 week Sprint. Each of these events is described as "usually shorter" for shorter Sprints.
If you have a 1 month Sprint, you ...
"better" can only be answered by your team. For some teams, doing them all in one day is fantastic. Everyone gets a day away from the keyboard which gives their analytical brains a little rest. You get to work and bond together as a team for a whole day in a (presumably) low-pressure day of activities.
On the other hand, some people don't want to take a ...
Try it and see.
Hopefully your retrospective goes like this:
dev: let's do planning and retro back to back on a single day
SM: OK, I'll book it in for next sprint
and not like this:
SM: everyone list 3 good and three bad things about the sprint
everyone: bad - too many meetings
SM: ok but we have to have meetings because Scrum