Triangles are not skipped based on their size, but if a pixel center does not fall inside or lie on the top or left edge (this is referred to as coverage testing) they do not generate any fragments during rasterization.
That does mean that certain really small triangles are never rasterized, but it is not entirely because of their size, just that their position is such that they do not satisfy pixel coverage.
Take a moment to examine the following diagram from the DirectX API documentation. Because of the size and position of the the triangle I have circled in red, this triangle does not satisfy coverage for any pixels (I have illustrated the left edge of the triangle in green) and thus never shows up on screen despite having a tangible surface area.
If the triangle highlighted were moved about a half-pixel in any direction it would cover at least one pixel. You still would not know it was a triangle, because it would show up as a single pixel, but it would at least be pickable.
Solving this problem will require you to ditch color picking altogether. Multisample rasterization can fix the coverage issue for small triangles, but it will compute pixel colors as the average of all samples and that will break color picking.
Your only viable solution is to do point inside triangle testing instead of relying on rasterization. In fact, the typical alternative to color picking is to cast a ray from your eye position through the far clipping plane and test for intersection against all objects in the scene.