I found this explanation:
CIE lightness is a psychophysical scale based on colourimetric
measurements, and may not quite coincide with lightness as experienced
by an observer, even under ideal conditions. In particular, certain
colours have a tendency to look lighter than a grey of the same CIE
lightness, an effect known as the Helmholtz–Kohlrausch Effect (Figure
8.1). In Photoshop, this can result in some small surprises when converting images to greyscale mode, which translates all colours to a
grey of the same value of CIE lightness.
There is also an image explaining this, take a look at figure 8.1 in http://www.huevaluechroma.com/081.php
Figure 8.1. Helmholtz–Kohlrausch Effect. A: Various colours on a grey background, all measuring L = 50 in Photoshop. B: same image converted to greyscale mode.