It's because modern OS's (Windows especially) are still dumb and will only utilize one CPU thread per file copy operation at a time, which is fine for bigger files since you only have to process one read/write cycle for one file, but when you get to those thousands of little files you hit a bottleneck as your system goes through the read/write cycle for each file, with only one thread to process those cycles.
19.822 small 1 KB Files - 470 KB / sec.
Aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaahhhh..........