We present a study of the magnetoresistance of highly oriented pyrolytic graphite (HOPG) as a function of the sample size. Our results show unequivocally that the magnetoresistance reduces with the sample size even for samples of hundreds of micrometers size. This sample size effect is due the large mean free path and Fermi wavelength of carriers in graphite and may explain the observed practically absence of magnetoresistance in micrometer confined small graphene samples where quantum effects should be at hand. These were not taken into account in the literature yet and ask for a revision of experimental and theoretical work on graphite.