In short, printers and monitors produce colors in different ways.
Monitors use the RGB (red, green, blue) color model, which usually supports a wider spectrum of colors. Printers use the CMYK (cyan, magenta, yellow, black) color model, which can reproduce most—but not all—of the colors in the RGB color model. Depending on the equipment used, CMYK generally matches 85–90% of the colors in the RGB model.
When a color is selected from the RGB model that is out of the range of the CMYK model, the application chooses what it thinks is the closest color that will match. Programs like Adobe Photoshop will allow you to choose which color will be replaced. Others may not.