You misunderstand the statistics. A difference can be statistically significant with a trivial effect size, as here. p measures significance, r measures effect size. Here the numbers indicate that the difference is reliable (though p=.05 isn't significant where I come from especially in view of the huge sample size) but negligible.
Since you seem like that kind of guy I refer you to http://en.wikipedia.org/wiki/Effect_size#Pearson_r_.28correlation.29 so you can take Cohen's word for it instead of the author's and mine.