It is not a problem but down to the way files are organized into two parts, a data fork and a resource fork, on the Mac's filing system.
The data fork is essentially the actual file while the resource fork provides additional information about it. The file size displayed in the Save for Web dialogue of Photoshop is the size of the data fork, but when viewed in Finder you will see the combined size of both forks.
To use an analogy with photographic terms, the resource fork is the equivalent of EXIF data being added to a file which helps the system understand it better. Most commonly it will include codes which identify which application was used to create the file so that when you double click on it the appropriate program will load. This is how it knows to load Photoshop for .JPG file you created while loading Preview for images you download, for exmaple.
Different applications may also include other information they think will help them handle the file without needing special file formats. A text file editor may include information about the state of the document when it was saved such as where the scrollbar was positioned, and whether anything was selected, so that it can be restored exactly as you left it. Photoshop usually (though not in Save for Web) will create a thumbnail of the image to use as an icon. These custom icons are stored in the resource fork.
Windows and Unix type filing systems do not support resource forks, and so if you copy a file to another system [*] or to put it online you will only copy the resource fork. So while the file size may be bigger on your hard disk, when you do put it on the web it will only upload the size you originally expected.
In short, it is nothing to worry about, the file will be the size you expected for your intended use, it will just use more space on your local hard disk.
Michael.
[*] Actually to be technically accurate, if you copy a file to a Windows or Unix formatted hard disk via the Finder it will also copy the resource fork but this will be saved in a separate hidden file. Copying via ftp, a web upload, or the normal cp or mv commands will ignore the resource fork though.