As driftrider pointed out, some bullet types will actually display LESS penetration the closer you are to your target (i.e. the faster the bullet is traveling) up to a critical transition point....

Take the Winchester Supreme Ballistic Silvertips for example....From my .30-06, I have noticed this on more than a few occasions...

I shot a deer at 12yrds (yes, 12yrds), I SAW the bullet hit her, she fell down, and got back up with a HUGE flesh wound at the IMPACT point (size of two open hands)...she ran off. I knew since the entry wound was huge, there would be no exit wound, (hydrostatic backlash wound), but I figured she'd bleed badly, and only run a little ways...boy was I wrong. Blood trail for about 100yrds, down to drops, then stopped...I never found her.

With the same bullet/load, I shot a deer at ~40yrds, again the deer fell and got back up...I guess this time I got better penetration, he ran about 180-200yrds and crashed. I heard where he ran to, and luckily he crashed in an open bean field, so spotting him wasn't hard....There was no blood trail...It was a perfect hit, but my bullet had shattered, the near lung was cut to ribbons, and the base of the bullet was lodged in the middle of the heart...there were bullet fragments everywhere in the wound...even where he lay there wasn't much blood

THE FIRST DEER I ever took with this load is what sold me on them...I had been using them on paper and coyotes for some time...they were a bit too hard for yotes, so I thought I'd try them on deer....I took a 383yrd shot on a 8pt buck (well practiced at long ranges mind you), he dropped in his tracks. Pinky sized entrance, tennis ball sized exit wound, and a LOT of blood on the ground.

I used them for a few years, and never took a shot under 75yrds with them, and they did fine (I use a revolver for "short range work")...I only noticed the problem when I started leaving the handgun at home and took these short shots with them.

When they're going too fast, the bullets fail, so they pop like balloons and don't penetrate or do much damage. When they've flown far enough to slow down a bit, they'll retain more bullet weight, and give better penetration and better wound channels.