Say you have 1 liter of water and enough dissolved sugars for that water's gravity to measure 1.040. If you remove .030's worth of sugars from the water
without adding anything else, you'll measure a straight 1.010.
But fermentation adds alcohol, which is lighter than water. So when you float the hydrometer to measure FG, you have a liquid that is less dense because of the presence of alcohol, so the reading is slightly less. This leads us to what's known as "Apparent Attenuation", rather than "Actual Attenuation", the latter being a more accurate, but far more involved, measurement. There's a decent reference to this
here.
I don't believe the effect is that significant and as homebrewers we deal mostly with approximations anyway, so no big deal. But the effect is there.