All wires and connectors introduce resistance. It may be very small (milli ohms).
Some DMM deliberatly show 0\$\Omega\$ when less than a certain value, to fool you into thinking the leads are 0\$\Omega\$
Decent DMMs show exactly what they are measuring.
Most of my DMMs show between 0.01\$\Omega\$ and 0.06\$\Omega\$ which is normal.
(fyi I have 15 DMM so I should know)