Well, keep in mind, those studio lights can be bright, and even Caroll has said that the suit part of Big Bird is really light - like Matt says, essentially feathers glued to a mess netting held together with rings similar to hula hoops. I remember Caroll said he once took a yellow highlighter to mark his lines of a script page, but that proved to be futile, because they disappeared inside the suit from it glowing yellow inside.
Not only that, but I guess certain material absorbs light moreso than others. When the EIG website was still up, I remember reading in the production notes that lighting was a big issue with the movie, because certain characters like Elmo and others really absorbed so much light that they appeared to be glowing on camera.