MZ (DOS .exe) requires a loader - smarter than just "copy this whole thing into memory and jump to start", anyway - because it has a relocation table. But, of course, the loader is not part of the executable itself, so it doesn't contribute to its size. I suspect that the reference was to the relocation tables themselves.
Eventually I overcame laziness though, and started to study the EXE file format, which, AFAIR, does not have a "loader", (as Shorel suggested) but just a header describing the layout of the file. I think EXE files tend to be larger, just because they can be larger.