Every protocol has overhead. The "LAN" copy you're talking about it most likely SMB/CIFS. CIFS is quite prone to being badly configured(and thus slow) and overall has more overhead than FTP.
FTP is a very simplistic protocol. It's hard to get it wrong. CIFS is a complex protocol, most likely the implementation on the phone is either limited or slightly wrong. Not bad enough to cause a failure or anything, but rather just slower
Based on comments:
The speed difference you are seeing between wireless and USB is to be expected. USB 2.0 has a maximum speed of 480Mbit/s or 60Mbyte/s. In comparison, wireless G's maximum speed is 54Mbit/s and even wireless N is either 144Mbit/s or 300Mbit/s depending on configuration. Most phone wireless chipsets have a speed limit built in due to cost-saving(in power or price) measures. For instance, I can't get over 20Mbit/s with my phone which implements wireless G.
Also, one more thing to keep in mind is that usually when you use a USB cable to transfer files, it can take a lot of short cuts. All it has to do is expose the SD card at a block-level, not parsing file systems or worrying about protocols. The speed difference due to this is probably negligible, but I'm sure it's measurable.