Flying requires enormous energy and some birds have higher mass-specific maximal oxygen consumptions than any mammal. The bird lung is very efficient partly because of an extremely thin blood-gas barrier so that some birds have thinner barriers than any mammals. We show here that in addition to the total barrier being very thin, the interstitium which is responsible for the barrier's strength is extraordinarily thin. This observation is paradoxical because intense exercise raises the pressure in pulmonary capillaries and results in large stresses in the capillary walls thus predisposing them to structural failure. For example, all galloping racehorses break their pulmonary capillaries. We propose that the explanation for how the bird can be so highly energetic yet also have such apparently fragile capillaries is the mechanical support provided by the dense packing of rigid air capillaries around the blood capillaries in the gas exchanging region of the lung. This architecture is very different from that in the mammalian lung.