Voltage regulators also have a rating as to how much power can pass through them before the magic smoke is produced.You do realize that a voltage regulator is intended for the job of regulating voltage though, right? (the name kinda implies it's use)
Voltage regulators generally just short the high side to ground to remove the excess voltage. This happens quickly and uses reactors / caps to keep the voltage smooth.. There are thermal limits to all of these things.
Note that I do not know where these limits are...