Here is the Voltage-Current characteristic of a Zener diode.
Do you see how at very, very low currents, the voltage actually drops bellow threshold?
So let us see what happens in the simplest voltage regulator. Let's say some applied voltage V
a is applied across the Zener diode with threshold voltage V
Z and a resistor R
1 connected in series. In parallel with Zener diode, you connect your load resistance, R
L at regulated voltage V
Z.
So let's look at the currents. The load current is obviously given by this.
I_L = \frac{V_Z}{R_L}
And the current across R
1 is this.
I_1 = \frac{V_a - V_Z}{R_1}
And of course, the current flowing through R
1 then splits to go through R
L and the diode. So we can easily find the diode current, I
Z.
I_Z = I_1 - I_L = \frac{V_a - V_Z}{R_1} - \frac{V_Z}{R_L}
If V
Z remained constant despite absolutely any changes, this value would become zero whenever
R_L = \frac{V_Z}{V_a - V_Z}R_1
Clearly, load resistance can be that low, or even lower. If it is lower, the value of I
Z would become negative, which would mean the current is flowing against the potential, and that's nonsense.
In reality, of course, as seen in the diagram, V
Z begins to drop before you quite get to that point. In the limit where R
L goes to zero, V
Z also goes to zero.
If the regulator you are thinking of is more complex, you might have to do a bit more work to get this result, but the idea is the same. Find the current that flows through the Zener diode as a function of R
L, and you'll see when the regulator is not going to be very useful anymore.