There are several possible reasons for it.
It can happen because the filtering process changes the shape of the waveform, so although there may be less total energy in the signal, the peak amplitude may well increase.
If you think about a bunch of different frequency tones all playing at the same time, their phase relationships vary continuously and add or cancel each other to create the total waveform. Remove some of the tones and some of those cancellations won't occur anymore...
It can also happen because some equalisers actually boost the region just above the turnover point below which they are attenuating.
Also, most equalisers introduce significant phase shifts and that again, will change the way different frquencies combine and cancel.
Technical Editor, Sound On Sound