This is quite well explained here:
Gas exchange - Wikipedia, the free encyclopedia
Basically, the oxygen in lungs diffuses through the alveolar wall into the alveolar arteries. To enable the diffusion, the PAO2 (partial alveolar pressure of oxygen) must be higher than PvO2 (partial venous pressure of oxygen). And since the PvO2 cannot drop too much without you blacking out, in the moment the level of oxygen in your lungs drops close to the minimal PvO2, the diffusion is inefficient and the blood gets little new oxygen. Furthermore, the inefficiency is amplified by increasing CO2 which reduces the affinity of oxygen to hemoglobin.
In other words, you simply cannot spend all oxygen in your lungs.
