Muscle weighs more than fat, but it's also smaller. If you're really losing fat and gaining muscle, you should be losing inches and firming up. Most women cannot build "big" muscles, and even then, only after very heavy weights for a long time. Muscles also burn fat. Every pound of muscle burns 40 calories a day - without you doing anything. If you gain 5 pounds of muscle, you'll automatically burn an extra 200 calories per day.