+3  A: 

I would imagine because that a struct is allocated, and posted with the message. If the message is not processed, the struct containing the message parameters will not be freed.

Chris Becke
+1  A: 

The messages that you're failing to dispatch - they must be queued up somewhere, waiting for that fateful moment at which you'll finally start dispatching them. That queue is going to use some memory.

Damien_The_Unbeliever