You would have to ask the programmers from Adobe and Microsoft. These are
two entirely different file formats from two entirely different software
manufacturers. It's a bit like asking "why does a Toyota Camry have better
gas mileage than a Honda Civic?"
There may be ways that you can make your Word files smaller, if that is what
you are trying to accomplish.
Also, if it helps you, in the new version of Word coming out (Word 2007),
files sizes have been decreased.