I do the same thing. I do like listening to wordy things, but I generally choose audiobooks of things I've already read, or podcasts where missing small bits is OK, or selected bits of Radio 4 comedy. I miss less when running or knitting, more when doing housework (this may be just because I'm more likely to be interrupted and also more likely to be making distracting noise), and most when not doing anything else.

I was quite good at concentrating in lectures, but then I was making quite extensive notes. Unfortunately for the rare occasions when I sub in for the secretary in committee meetings, this does not appear to be a skill that has stayed with me.