You can loose colors when saving to web, so you may want to overcompensate. Saturation can do this, but I prefer to duplicate the layer, and change the top layer mode to soft light, and then change the layer opacity down to about 30% on average.
You also may be seeing a shift due to hwo your color management is setup. Try turning it off and see if there is a difference.
Do you see the problem if you use save for web with 2Up (left in original, the right in jpeg)?
Please give some more detail, as there are so many issues, mac/pc, gamut, uncompensated color, color settings, file format, compresion level. What colors are you loosing (all of them or is it in the blue?)