In all seriousness, my first thought when I read the thread title was that it could be true because of the additional enamel coating that glossy Lumias have. Contrary to some thoughts I've read here, the matte and gloss versions are the exact same material, it's just that the lighter colours are treated with an enamel coating to protect them from staining.
However, I would say that the Lumia 920 shouldn't be large enough for the weight of the coating to be perceptible by human hands, so it's probably a psychological impression.