Heavier BB's keep momentum longer.
It also has to do with the fact that every BB has an optimal relative speed of around 320fps. That's why you get amazing range and accuracy at 420fps with .30s, but accuracy DECREASES at 470fps.
And with some guns, Heavier BB's may actually be firing at a higher joule rating than lighter BB's, however that's simply due to the fact that it's in the barrel longer since it's harder to accelerate. And as long as there's pressure behind it, it will continue to accelerate. This is especially common in gas guns, whereas a .20g BB will be shot at 1.34j, but a .28g BB will be shot at 1.55j