From here :
The vibrations produced by our larynx are transmitted to our ears through both the air and our head. We ‘hear’ our voices through the air and through our body. A recording of a person’s voice captures only the information transmitted through the air. When played back, we hear only the portion of the sound that was transmitted through the air, without any of the colourations produced when it travels through our body. If you plug your ears very soundly and speak, you will ‘hear’ everything you say, but your voice will sound very different than with your ears open.