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Thalassamania: There is probably some truth to what you've heard, although I've never heard of such a documented case in a real life scuba diver (forceful exhale leading to formation of arterial gas emboli).
In med school, respiratory physiologists taught us that, in the dependent regions of the lungs during forced exhalation, a certain number of small airways (respiratory bronchioles) do collapse, trapping some gas in distal alveoli. This happens at very low lung volumes in normal kids, but it does occur at higher volumes (approaching functional residual capacity) in healthy elderly patients. Bear in mind that the term "dependent" relates to the force of gravity. On land, when we are standing upright, the dependent part of the lungs would be the base. While diving in a horizontal position, the dependent region would refer to a larger region of the lungs (think of the orientation of the lungs). I'm not sure whether the increase in ambient pressure at recreational diving depths is significant enough to amplify such a collapse of respiratory bronchioles during forced exhalation.
For the record, I'm not a pulmonary specialist.