It isn't about the size of the files, but the fact they are already compressed. It's not particularly fruitful to apply lossless compression to something which is already heavily compressed.
"...most multimedia files will not compress much, as they already exist in a highly compressed state...You would see a similar lack of compression if you zipped some files using maximum compression and then added that Zip file to another Zip file. This second Zip file would not be substantially smaller than the first one (it may even be slightly larger). Again, this is because the data in the original Zip file is already compressed. "
Source:
http://kb.winzip.com/kb/entry/104