To be honest, it seems that due to its immense size, its tissues are so thick they just absorb the impact. I just dropped a giant sperm whale 4 z-levels and its left eye, head and upper body took the impact (in that order).
Right now, it's drowning and stunned, but perfectly alright otherwise.
Besides, it's likely the same reason why it can't actually damage a dwarf; something makes it fall slowly.
I dropped a second giant sperm whale on the first one. The first one, WHILE STUNNED, jumped away. This time the left false ribs got jammed into the liver, the neck was pulped into the body and the left flipper's bone was bruised.
Now, here come the bugs! I slapped the GSW1 while controlling GSW2. The attack passed through the lower body. It seems that at some sizes, the enemy is so big its density approaches 0. This is what causes it to receive/deal no damage while falling.
In other words: the size is so big that its cells/molecules are far enough apart that the tail of a giant sperm whale PASSES BETWEEN THEM.
I think this should make a bug report. The larger the size, the more common it is that the creature is rendered without weight and attacks pass through (no weight is shown by the fact that a dwarf can charge into it and make it fly across the room; strangely, charges can't pass through, they can only miss or hit).
I'm guessing it's more an engine limitation or something but I'll add it to bug tracker if it hasn't been added yet.