Dirty Joke Warning: Do Not highlight the text below if you are easily offended...
It seems like Russian rifle rounds are much like drunken Russian men... sure, they can penetrate, but can't do very much when they get inside.
*End of dirty joke*
Anyways, yeah... the guys above explained it well. Russian rounds are heavier. When a round is heavier, it carries more momentum. More momentum means that a round carries its energy for a longer distance through the medium it is fired at. A negative side effect of this is that these projectiles are less likely to disperse their carried energy into the target at the appropriate depth, thus reducing the chance of a lethal wound when compared to a lighter round like the 5.56x45mm. Bullet design is really a world of trade offs... you trade increased penetration for energy dispersion. More recently developed rounds like the 6.8x43mm and the 6.5 Beowulf are beginning to find the balance between the two extremes.