I've heard that some people experience this. I too notice it is thinner which I thought couldn't be possible since I was already pretty thin. Even though its thinner I can see an improvement so I wouldn't worry about it.
this might be the same as i had. where i applied the minoxidil was a whiter colour which makes your hair look thinner as more scalp is visible. i think this is just the residue of the minoxidil which if you look closely mite be there?