Screws, bolts, and nuts produce an incredible amount of clamping force. A screw is basically two very low incline ramps or shims being pushed against each other. It takes very little force turning the screw (torque) to create a huge force in the axis of the screw or clamping force. For example the force holding your wheels to your cars is over ten times the weight of the car PER WHEEL. Just from 5 little nuts torqued to ~100ft/lbs or someone pressing a foot long wrench with 100lbs of force.
Edit: Misread the point of the question, yes typically heavy things are not screwed into the drywall but into the frame of the house itself.
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