When you speak, you are hearing most of your voice via the vibrations travelling through your head, not sound travelling to your ears. The sound waves that make up your voice are travelling trough a lot of bone, meat, and sinuses before they make it to your auditory equipment. Hence, it changes a bit, that's why every voice has a unique version that only its owner can hear.

Source:a Popular Science I glanced at years ago

There's one additional item:

The sound also resonates in the cavities of the head, like the mouth, neck and sinus areas. This makes your voice sound deeper and more resonant. I was disappointed when I discovered that I sounded more like Egon from Ghostbusters (Harold Ramis) than James Earl Jones.