Going Down

After a telling a lame gag or giving someone bad news, you might hear the expression "Well, that went down like a lead balloon", i.e. not very well. But surely a lead balloon, due to its weight, would go down better than most things, i.e. well.

It should be said after a nice meal or hearing the best gag of all time. But it isn't, and I'm confused as to why that is.