This question comes up a lot and the biggest thing that can affect that, is the fact that you "see" artwork on your screen in RGB colors, but your printer "prints" them in CMYK colors, and while there is some overlap in the color gamuts of each that translation (based on your color profiles settings) can still really affect, how a print verses a view will compare.
See the charts below for how these differ.
Ranges or "Gamut" for each compared to full human perceived color spectrum.
So as you can see from chart 2 the printer can't reproduce all the colors your monitor can display, on a side note a 6 color printer can extend that range some.