Answer: They can travel through the phospholipid bi-layer instead of using transport proteins.
Explanation: Bigger molecules, like Na+ for example, gets moved across the membrane through transport proteins. These transport proteins move bigger molecules across the membrane. But when we are talking about small molecule like O2(oxygen), they are small enough to squeeze through these phospholipids blocking the way. So therefore, if molecules are small enough they can travel through the membrane with ease.