Erm, not really. Most of the time it's because they spend like 3 minutes of loading time generating textures and all in memory before displaying anything on screen. And they rely on the giganormous graphic libraries of Windows (for Windows demos) + the huge driver stack that would never fit in 64kb in the first place.
I am much more impressed by demos built to run on "the hardware" back in C64 and Amiga days.