weird....

I find this really really weird.
1st icon: Original icon; without any colouring.
2nd icon: With colouring; saved using File > Save As.
3rd icon: With the exact same colouring; saved using File > Save for Web & Devices. This is the exact colouring when I have it up on PS.

Just out of curiosity, what causes the difference? I both saved it on .JPEG, it only differed by how I saved it.