There will always be some change in converting RGB to CMYK. Some RGB colors like red or yellow convert well to cmyk and others like 255 blue do not. Your monitor is also an rgb device, so the representation is not as accurate for CMYK.
Overall you will notice less saturated colors in CMYK, because RGB light is cleaner and than CMYK inks.
Your color settings also play a part in the conversion, but that is a very long topic and make sure you are set to US Prepress Default.