As plastic and air have different refractive indexes, you essentially measure through two layers. When you measure an empty well, the absorbance is measured first through the plastic of the microplate. After this, the absorbance is measured through the air that is in the well.
As plastic/liquid parts behave as if they were just one layer, this is different for wells filled with just water or buffer leading to lower OD values (in wells with buffer when compared to empty wells).
This is why we recommend using a well filled with a liquid as a blank and not an empty well.