That either means that your music was already low-quality to begin with or that you don't have the necessary hardware to listen to higher quality music. Which really, unless you have an ancient computer, you should be able to hear the difference. My guess is that you either have really bad speakers/headphones or you just picked a specific case where the song compresses well.
Every compression means you lose some information in the file. If you don't have a decent audio card, a decent head set, and also know the sounds how they should be, its hard to tell the difference. Also it depends on what kind of sounds you are compressing.
How it works ... well better read here for a more detailed version [link]