That's because a lot of the CSS files specified in the page's markup are not hard links. By hard links, I mean, they're more 'programmatic', though that isn't the correct term either.
Have a look at the markup
Code:
<style type="text/css">/*<![CDATA[*/
@import "/w/index.php?title=MediaWiki:Common.css&usemsgcache=yes&action=raw&ctype=text/css&smaxage=2678400";
@import "/w/index.php?title=MediaWiki:Monobook.css&usemsgcache=yes&action=raw&ctype=text/css&smaxage=2678400";
@import "/w/index.php?title=-&action=raw&gen=css&maxage=2678400";
/*]]>*/</style>
and
Code:
<!--[if lt IE 5.5000]><style type="text/css">@import "/skins-1.5/monobook/IE50Fixes.css?156";</style><![endif]-->
<!--[if IE 5.5000]><style type="text/css">@import "/skins-1.5/monobook/IE55Fixes.css?156";</style><![endif]-->
<!--[if IE 6]><style type="text/css">@import "/skins-1.5/monobook/IE60Fixes.css?156";</style><![endif]-->
<!--[if IE 7]><style type="text/css">@import "/skins-1.5/monobook/IE70Fixes.css?156";</style><![endif]-->
<!--[if lt IE 7]><script type="text/javascript" src="/skins-1.5/common/IEFixes.js?156"></script>
<meta http-equiv="imagetoolbar" content="no" /><![endif]-->
When saving the file, the browser will only save those files that are directly referenced, explicitly.