It's simple maths. The CPU voltage is constant. I don't know how much it is for the N9 but let's assume 3.3V for the sake of illustration. Then let's assume that a CPU busy with something intensive like watching Youtube takes 500mA. Power = voltage * current, so in this case 3.3V * 500mA = 1.65W.

Now, a nearly full battery has about 4.2V. How much current does the device draw from it? The same formula applies, power = voltage * current, i.e. current = power / voltage. 1.65W / 4.2V = 393mA. That assumes a 100% efficiency, but let's ignore that for now to keep things simple.

How does the situation change with a nearly empty battery? To start with, the voltage can drop to as little as 2.7V. How much current does the phone drain from it? 1.65W / 2.7V = 611mA.

What does that tell us? Imagine your wall charger is capable of delivering 600mA. In the "battery full" case, it has 600mA - 393mA = 207mA to spare to charge the battery. In the "battery empty" case, it has 600mA - 611mA = 11mA missing! So, your phone continues draining the battery even when on a charger.

The solution is simple. Either stop using power-hungry applications (phone calls, big downloads, anything CPU-intensive...) or get a charger that can supply more current.

Please remember that my numbers are made up, just for illustration. Someone might have the correct numbers, but the general idea would remain the same.