Your lungs can compress to equalize the pressure as you go deeper and expand as you come back up. As long as you start with ambient pressure air in your lungs you won't have issues.

The problem is breathing against the external pressure, you need gas pressure to help expand your lungs again after you exhale. The regulator keeps the air pressure equal to the external water pressure so breathing feels the same no matter how deep you go. With an open loop system you use air faster with depth because each breath is higher pressure and gets wasted when you exhale.