I noticed this in my Algorithms class, but just now got around to asking.
This paper may shed some light on the issues: http://www.springerlink.com/content/w32x70520k8jj617/
The Huffman algorithm considers the two least frequent elements recursively as the sibling leaves of maximum depth in code tree. The Fibonacci sequence (as frequencies list) is defined to satisfy F(n) + F(n+1) = F(n+2). As a consequence, the resulting tree will be the most unbalanced one, being a full binary tree.