If sample rate is the only parameter you changed, then Cool Edit is clearly doing something different than just changing the sampling rate, because as Blue Bear so vociferously states, sampling rate can't change the volume.
I just tried what you described (curious to see if something else might be happening and wanting to understand if it is) in Cool Edit 2000, and I hear or see no difference in apprent volume.
If you are recording yourself just talking then it would be very easy to fool yourself into thinking it's louder. Mic placement, volume of your voice... You need to try recording a repeatable thing. Like put the mic in front of a speaker and play a CD. Record that. Do it again (repeating the exact same part of the CD) without touching the mic position or anything else.
