Antennas are resonant (or near-resonant) devices. Like Kafeman described with the speaker analogy, the same effects apply to antennas. The closer the electromagnetic field's wavelength is to the resonant frequency(s) of your antenna, the more signal it will either transfer into the air (transmit mode), or collect from the air (receive). The vast majority of antennas seen in the commercial marketplace are, at their core, bi-directional and reciprocal devices. Thus, they operate under the same rules in transmit, as they do in receive.
Picking a proper antenna for receive is just as critical as picking a good antenna for the transmitter. Think about trying to pick up broadcast TV stations using a **broken link removed**.... it doesn't work at all, because the loop's resonant frequency is typically around 1 MHz, while broadcast TV is on the order of 100 MHz. The loop antenna has very, very poor gain at 100 MHz, thus making picking up a wide range of OTA TV stations virtually impossible with that antenna on your receiver.