Your database presumably lies on a single disk; that disk is connected to a motherboard using a single data cable; if the database server is on a network, then it is connected to that network using a single network cable; so, there is just one path that all that data has to pass through before it can arrive at your different threads and be processed.
The result is, of course, bad performance.
The lesson to take home is this:
Massive I/O from the same device can never be improved by multithreading.
To put it in different terms: parallelism never increases performance when the bottleneck is the transferring of the data, and all the data come from a single sequential source.
If you had 5 different databases stored on 5 different disks, that would work better.
If transferring the data was only taking half of the total time, and the other half of the time was consumed in doing computations with the data, then you would be able to halve the total time by desynchronizing the transferring from the processing, but that would require only 2 threads. (And halving the total time would be the best that you could achieve: more threads would not increase performance.)
As for why reading 20 thousand records appears to perform almost as bad as reading 20 million records, I am not sure why this is happening, but it could be due to a silly implementation of the database system that you are using.
What may be happening is that your database system is implementing the offset and limit clauses on the database driver, meaning that it implements them on the client instead of on the server. If this is in fact what is happening, then all 20 million records are being sent from the server to the client each time, and then the offset and limit clauses on the client throw most of them away and only give you the 20 thousand that you asked for.
You might think that you should be able to trick the system to work correctly by turning the query into a subquery nested inside another query, but my experience when I tried this a long time ago with some database system that I do not remember anymore is that it would result in an error saying that offset and limit cannot appear in a subquery, they must always appear in a top-level query. (Precisely because the database driver needed to be able to do its incredibly counter-productive filtering on the client.)
Another approach would be to assign an incrementing unique integer id to each row which has no gaps in the numbering, so that you can select ... where unique_id >= start and unique_id <= (start + 20000) which will definitely be executed on the server rather than on the client.
However, as I wrote above, this will probably not allow you to achieve any increase in performance by parallelizing things, because you will still have to wait for a total of 20 million rows to be transmitted from the server to the client, and it does not matter whether this is done in one go or in 1000 gos of 20 thousand rows each. You cannot have two stream of rows simultaneously flying down a single wire.
nto reduce the total processing time by1/n.