The variance of predictions is always going to be less than the variance of the observations. The predictions are estimates of the means of the distributions conditional on the predictors. So you are comparing the dispersion of the means with the dispersion of the observations.

The variance of predictions is always going to be less than the variance of the observations. The predictions are estimates of the means of the distributions conditional on the predictors. So, assuming the mean of the data is not too far from zero, you are comparing the dispersion of the means with the dispersion of the observations.