We study the heat transfer between two parallel metallic semi-infinite media with a gap in the nanometer-scale range. We show that the near-field radiative heat flux saturates at distances smaller than the metal skin depth when using a local dielectric constant and investigate the origin of this effect. The effect of non-local corrections is analysed using the Lindhard-Mermin and Boltzmann-Mermin models. We find that local and non-local models yield the same heat fluxes for gaps larger than 2nm. Finally, we explain the saturation observed in a recent experiment as a manifestation of the skin depth and show that heat is mainly dissipated by eddy currents in metallic bodies.