I think I got the answer....
> The primary anatomical adaptations for pressure of a deep-diving mammal such as the sperm whale center on air-containing spaces and the prevention of tissue barotrauma. Air cavities, when present, are lined with venous plexuses, which are thought to fill at depth, obliterate the air space, and prevent "the squeeze." **The lungs collapse, which prevents lung rupture and (important with regard to physiology) blocks gas exchange in the lung. Lack of nitrogen absorption at depth prevents the development of nitrogen narcosis and decompression sickness**.
Source: Scientific American