You made the list using Data; Validation from the menu?
That's what I just did and can't replicate your results.
Method 1- common one, the list is in a range of cells, and I made sure some items were short, some very long, and even set the font to the smallest I could find.
Method 2 - as above, but before using the range on the validation dialog, I made the cells, where the list is, unreadable by 'Shrink to fit' setting under the theory it might carry over
Method 3 - I typed a list with items of widely varying lenghts into the dialog's prompt for list cell range address.
In all instances, in use, the dropdown items' font is the same size as the other cells.
The whole thing is a bit strange, because Data validation is one of the most primitive of Excel's options, i.e. no way to customize! Perhaps you discovered a feature?
I use XP and Excel from Office 2003, previous Excels back to 97, where I think validation came into being, were the same as far as I recall.