When multimeters are used to measure small resistance value, many users notice that when the test leads are shorted together the reading does not equal 0.0 ohms. This is normal and is not an error - test leads usually have measurable resistance. Test lead resistance should be 0.5 ohms or less, and if the value is higher than that the leads should be replaced.
Some meters, such as the Fluke 87V, have a relative function (REL) that will store the test lead resistance. This is a convenient way to compensate for lead resistance.