It's funny, I was literally having this exact conversation with my wife last night.
It's actually, as others have said, surprisingly likely. You're not precisely "losing weight" so much as you are "becoming more dense," at least in part. Like, yeah, you're burning fat, but you're also building muscle.
The big up-side is that muscle burns more calories than fat under the same circumstances, so as you do this -- as you convert more of your overall weight into muscle -- you'll notice that you continue that process more and more efficiently. (I say as an overweight person who hasn't benefited from this process in a very long time...)