PCM is a raw format. Its just a sequence of samples in linear order: left sample1, right sample 1, left sample 2, right sample 2....so it can't be any smaller than bit depth * sampling frequency * number of channels. So eg. 16 bit 44.1 kHz stereo will always be 16 * 44,100 * 2 for every second of audio which equates to about 10.5 MB per minute of audio. That's why an average 4 minute song takes up ~40 MB of disk space.
Lossless codecs exploit the fact that there is some redundancy in audio data and shortens the length of each sample. There is even a lossless codec named Shorten.
Although the algorithms are entirely different it's conceptually the same as using PKZip to compress a text file. When you unzip the file you get the original data back unchanged - hence 'lossless'.
Edit: 10.5 MB per MINUTE of audio (incorrectly wrote 'second' originally).